Measuring and Controlling Interest Rate Risk provides an examination of various techniques for measuring and controlling the interest rate risk of a bond portfolio or trading position. Generously supplemented with tables and calculated examples, this authoritative book also gives comprehensive coverage to: defining and illustrating interest rate risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses, futures and forward contracts, interest rate swaps, exchange traded options, OTC options, and controlling interest rate risk with derivatives.
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Book Description
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Measuring and Controlling Interest Rate Risk provides an examination of various techniques for measuring and controlling the interest rate risk of a bond portfolio or trading position. Generously supplemented with tables and calculated examples, this authoritative book also gives comprehensive coverage to: defining and illustrating interest rate risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses, futures and forward contracts, interest rate swaps, exchange traded options, OTC options, and controlling interest rate risk with derivatives.
About the Author
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University’s School of Management.
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Inside This Book
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First Sentence:
The goal of this book is to describe how to measure and control the interest rate risk of a bond portfolio or trading position. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
current dollar duration, binomial interest rate tree, target dollar duration, positive slope elasticity, negative slope elasticity, curve slope exposure, slope elasticity measure, risk point method, adverse rate change, portfolio that benefits, risk control instruments, net slope exposure, expected yield volatility, theoretical futures price, effective sale price, actual percentage price change, prepayment rates increase, theoretical spot rate, coupon curve duration, dollar convexity measure, yield curve risk, designated futures contract, full valuation approach, covered call writing strategy, approximate percentage price change Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Southern Bell, Fabozzi Associates, Financial Analysts Journal, Journal of Fixed Income, Bankers Trust, Effect of Rate Changes, Goldman Sachs, Technical Document, Merrill Lynch, New York, Bullet Barbell Difference, Horizon Assuming, Journal of Finance, Journal of Portfolio Management, Nondeliverable Bond, Probus Publishing, Same Duration Over, Scenario Analysis Instrument, Value of Year, Yield Curve Slope Exhibit New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
The goal of this book is to describe how to measure and control the interest rate risk of a bond portfolio or trading position. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
current dollar duration, binomial interest rate tree, target dollar duration, positive slope elasticity, negative slope elasticity, curve slope exposure, slope elasticity measure, risk point method, adverse rate change, portfolio that benefits, risk control instruments, net slope exposure, expected yield volatility, theoretical futures price, effective sale price, actual percentage price change, prepayment rates increase, theoretical spot rate, coupon curve duration, dollar convexity measure, yield curve risk, designated futures contract, full valuation approach, covered call writing strategy, approximate percentage price change Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Southern Bell, Fabozzi Associates, Financial Analysts Journal, Journal of Fixed Income, Bankers Trust, Effect of Rate Changes, Goldman Sachs, Technical Document, Merrill Lynch, New York, Bullet Barbell Difference, Horizon Assuming, Journal of Finance, Journal of Portfolio Management, Nondeliverable Bond, Probus Publishing, Same Duration Over, Scenario Analysis Instrument, Value of Year, Yield Curve Slope Exhibit New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 18
books:
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23
books
cite this book:
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- Interest Rate Futures and Options by Mark Pitts on page 228, page 233, and page 238
- Expiration Date by Justin Curfman on page 188, and page 189
- Fixed Income Securities by Frank J. Fabozzi CFA in Back Matter (1), and Back Matter (2)
- Bond Markets, Analysis and Strategies (6th Edition) by Frank J. Fabozzi on page 63
- Fixed Income Portfolio Management by H. Gifford Fong on page 80
See all 18 books this book cites
- Fixed Income Mathematics, 4E: Analytical & Statistical Techniques by Frank J. Fabozzi on page 280, and page 549
- Measuring and Controlling Interest Rate and Credit Risk by Frank J. Fabozzi on page 48, and page 128
- Advanced Bond Portfolio Management (Frank J. Fabozzi Series) by Frank J. Fabozzi in Front Matter
- Securities Finance: Securities Lending and Repurchase Agreements (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA in Front Matter
- Managing Fixed Income Portfolios (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA in Back Matter
See all 23 books citing this book
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