num_pages: 533
description: Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk swaps and exchange-traded options TC options and related products and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart defining and illustrating interest rate risk and credit risk in regards to valuation probability distributions forecasting yield volatility correlation and regression analyses. Hedging instruments discussed include futures contracts interest rate swaps exchange traded options OTC options and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches valuation probability distributions yield volatility futures interest rate swaps exchange traded funds; and find in-depth up-to-date information on measuring interest rate with derivatives quantifying the results of positions and hedging. Frank J. Fabozzi (New Hope PA) is a financial consultant the Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia SC) is Professor of Finance at the Moore School of Business University of South Carolina. Moorad Choudhry (Surrey UK) is a Vice President with JPMorgan Chase structured finance services in London. Moorad Choudhry (Surrey England) is a senior Fellow at the Centre for Mathematical Trading and Finance CASS Business School London and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited where he worked as a gilt-edged market maker and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.
language: English
title: Measuring and Controlling Interest Rate and Credit Risk
publisher: Wiley