Measuring and Controlling Interest Rate and Credit Risk, 2nd edition

✍ Scribed by Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

• Year: 2003
• Tongue: English
• Leaves: 545
• Edition: 2
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

Measuring and Controlling Interest Rate and Credit Risk Second Edition......Page 3
Contents......Page 7
Preface......Page 9
About the Authors......Page 11
CHAPTER 1 Introduction......Page 13
CHAPTER 2 Valuation......Page 23
CHAPTER 3 Tools for Measuring Level Interest Rate Risk......Page 65
CHAPTER 4 Measuring Yield Curve Risk......Page 121
CHAPTER 5 Probability Distributions and Their Properties......Page 153
CHAPTER 6 Correlation Analysis and Regression Analysis......Page 173
CHAPTER 7 Measuring and Forecasting Yield Volatility......Page 193
CHAPTER 8 Measuring Interest Rate Risk with Value-at-Risk......Page 209
CHAPTER 9 Futures and Forward Rate Agreements......Page 221
CHAPTER 10 Interest Rate Swaps and Swaptions......Page 269
CHAPTER 11 Exchange-Traded Options......Page 311
CHAPTER 12 OTC Options and Related Products......Page 339
CHAPTER 13 Controlling Interest Rate Risk with Derivatives......Page 361
CHAPTER 14 Controlling Interest Rate Risk of an MBS Derivative Portfolio......Page 405
CHAPTER 15 Credit Risk and Credit Value-at-Risk......Page 437
CHAPTER 16 Credit Derivatives: Instruments and Applications......Page 473
CHAPTER 17 Credit Derivative Valuation......Page 497
CHAPTER 18 Managing Credit Risk Using Structured Products......Page 511
INDEX......Page 525