Risk Management
Subtitle: Approaches for Fixed Income Markets
Publisher: Wiley
Published: June 15, 2000
Language: eng
Number of pages: 312
ISBN-13: 9780471332114
First sentence: As any practitioner can attest, interest in risk management is highly correlated with large shocks to the financial system, their attendant dislocations, and the subsequent headlines and witch hunts.
Description: "Written by two senior risk management practitioners of a global money management and risk advisory firm, this book utilizes a blend of finance, economics, mathematics, and common sense in applying financial modeling techniques to managing risk in fixed income markets.

With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy-to-understand fashion, including: interest rate and basis risk durations; scenario analysis; expected rate of return; principal components analysis; value-at-risk; stress testing; and portfolio and hedge optimizations."--BOOK JACKET.