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Measuring and Controlling Interest Rate and Credit Risk

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Measuring and Controlling Interest Rate and Credit Risk - Fabozzi, Frank J, and Choudhry, Moorad, and Mann, Steven V
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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 ...

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Measuring and Controlling Interest Rate and Credit Risk 2003, John Wiley & Sons, Hoboken, NJ

ISBN-13: 9780471268062

2nd edition

Hardcover