Title: Measuring and Controlling Interest Rate Risk /
Authors: Fabozzi, Frank J.
Date: 1996
Publisher: Frank J. Fabozzi Associates,
Physical description: ix, 300 p. : ill. ; 24 cm.
Language: English
Contents: Overview of Measurement and Control of Interest Rate Risk -- Valuation -- Measuring Level Risk: Duration and Convexity -- Measuring Yield Curve Risk -- Probability Distributions and their Properties -- Measuring and Forecasting Yield Volatility from Historical Data -- Correlation Analysis and Regression Analysis -- Futures and Forward Contracts -- Interest Rate Swaps -- Exchange-Traded Options -- OTC Options and Related Products -- Controlling Interest Rate Risk with Derivatives -- Controlling Interest Rate Risk of an MBS Derivative Portfolio.
Notes: Includes bibliographical references and index.
Subject headings (LCSH): Interest rate risk.; Interest rates.; Interest risk futures.; Investments.; Portfolio management.; Risk management.; Risk.