Author: Edward Ehud Yardeni
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 36
Book Description
Managing Interest Rate Risk with Bond Futures
Author: Edward Ehud Yardeni
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 36
Book Description
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 36
Book Description
A Guide to Managing Interest-rate Risk
Author: Donna M. Howe
Publisher: Prentice Hall
ISBN:
Category : Business & Economics
Languages : en
Pages : 368
Book Description
Publisher: Prentice Hall
ISBN:
Category : Business & Economics
Languages : en
Pages : 368
Book Description
Interest Rate Risk Modeling
Author: Sanjay K. Nawalkha
Publisher: John Wiley & Sons
ISBN: 0471737445
Category : Business & Economics
Languages : en
Pages : 429
Book Description
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Publisher: John Wiley & Sons
ISBN: 0471737445
Category : Business & Economics
Languages : en
Pages : 429
Book Description
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Understanding and Managing Interest Rate Risks
Author: Ren-Raw Chen
Publisher: World Scientific
ISBN: 9789810227517
Category : Business & Economics
Languages : en
Pages : 182
Book Description
The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.
Publisher: World Scientific
ISBN: 9789810227517
Category : Business & Economics
Languages : en
Pages : 182
Book Description
The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.
Measuring and Controlling Interest Rate and Credit Risk
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0471485918
Category : Business & Economics
Languages : en
Pages : 545
Book 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.
Publisher: John Wiley & Sons
ISBN: 0471485918
Category : Business & Economics
Languages : en
Pages : 545
Book 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.
FRAs and Interest-rate Futures
Author: Brian Coyle
Publisher: Global Professional Publishi
ISBN: 9780852974445
Category : Business & Economics
Languages : en
Pages : 164
Book Description
� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics covered by this title include FRA rates, using FRAs ,what are futures? Short term interest-rate futures and bond futures, market trading, clearing, and settlement and closing positions.
Publisher: Global Professional Publishi
ISBN: 9780852974445
Category : Business & Economics
Languages : en
Pages : 164
Book Description
� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics covered by this title include FRA rates, using FRAs ,what are futures? Short term interest-rate futures and bond futures, market trading, clearing, and settlement and closing positions.
Duration Analysis
Author: Gerald O. Bierwag
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 368
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 368
Book Description
Hedging Interest-rate Exposures
Author: Brian Coyle
Publisher: Global Professional Publishi
ISBN: 9780852974452
Category : Business & Economics
Languages : en
Pages : 172
Book Description
� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include interest-rate risk, identifying interest-rate exposures, hedging policy, forward rate agreements, structural hedging, and hedging with derivative instruments and interest-rate futures, options and swaps
Publisher: Global Professional Publishi
ISBN: 9780852974452
Category : Business & Economics
Languages : en
Pages : 172
Book Description
� Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics include interest-rate risk, identifying interest-rate exposures, hedging policy, forward rate agreements, structural hedging, and hedging with derivative instruments and interest-rate futures, options and swaps
Interest Rate Risk Measurement and Management
Author: Sanjay K. Nawalkha
Publisher: I.I. Books
ISBN:
Category : Business & Economics
Languages : en
Pages : 588
Book Description
Interest Rate Risk Measurement and Management presents a collection of the key contributions in fixed-income investment research. This complete practitioners' manual showcases every major topic in interest rate risk management with detailed analyses and full treatment of equations and statistical measures. It is a substantial investment resource on: single and multi-factor duration risk measures; interest rate risk models for fixed income derivatives; and interest rate risk models for depositories, thrifts, the FDIC, insurers and pension funds.
Publisher: I.I. Books
ISBN:
Category : Business & Economics
Languages : en
Pages : 588
Book Description
Interest Rate Risk Measurement and Management presents a collection of the key contributions in fixed-income investment research. This complete practitioners' manual showcases every major topic in interest rate risk management with detailed analyses and full treatment of equations and statistical measures. It is a substantial investment resource on: single and multi-factor duration risk measures; interest rate risk models for fixed income derivatives; and interest rate risk models for depositories, thrifts, the FDIC, insurers and pension funds.
Using Financial Futures in Trading and Risk Management
Author: Ignacio Mas
Publisher: World Bank Publications
ISBN:
Category : Financial futures
Languages : en
Pages : 58
Book Description
Publisher: World Bank Publications
ISBN:
Category : Financial futures
Languages : en
Pages : 58
Book Description