Measuring and Controlling Interest Rate and Credit Risk
Measuring and Controlling Interest Rate and Credit Risk
; ;
John Wiley & Sons Inc
10/2003
534
Dura
Inglês
9780471268062
932
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Preface. About the Authors. CHAPTER 1: Introduction. CHAPTER 2: Valuation. CHAPTER 3: Tools for Measuring Level Interest Rate Risk. CHAPTER 4: Measuring Yield Curve Risk. CHAPTER 5: Probability Distributions and Their Properties. CHAPTER 6: Correlation Analysis and Regression Analysis. CHAPTER 7: Measuring and Forecasting Yield Volatility. CHAPTER 8: Measuring Interest Rate Risk with Value-at-Risk. CHAPTER 9: Futures and Forward Rate Agreements. CHAPTER 10: Interest Rate Swaps and Swaptions. CHAPTER 11: Exchange-Traded Options. CHAPTER 12: OTC Options and Related Products. CHAPTER 13: Controlling Interest Rate Risk with Derivatives. CHAPTER 14: Controlling Interest Rate Risk of an MBS Derivative Portfolio. CHAPTER 15: Credit Risk and Credit Value-at-Risk. CHAPTER 16: Credit Derivatives: Instruments and Applications. CHAPTER 17: Credit Derivative Valuation. CHAPTER 18: Managing Credit Risk Using Structured Products. INDEX.
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Preface. About the Authors. CHAPTER 1: Introduction. CHAPTER 2: Valuation. CHAPTER 3: Tools for Measuring Level Interest Rate Risk. CHAPTER 4: Measuring Yield Curve Risk. CHAPTER 5: Probability Distributions and Their Properties. CHAPTER 6: Correlation Analysis and Regression Analysis. CHAPTER 7: Measuring and Forecasting Yield Volatility. CHAPTER 8: Measuring Interest Rate Risk with Value-at-Risk. CHAPTER 9: Futures and Forward Rate Agreements. CHAPTER 10: Interest Rate Swaps and Swaptions. CHAPTER 11: Exchange-Traded Options. CHAPTER 12: OTC Options and Related Products. CHAPTER 13: Controlling Interest Rate Risk with Derivatives. CHAPTER 14: Controlling Interest Rate Risk of an MBS Derivative Portfolio. CHAPTER 15: Credit Risk and Credit Value-at-Risk. CHAPTER 16: Credit Derivatives: Instruments and Applications. CHAPTER 17: Credit Derivative Valuation. CHAPTER 18: Managing Credit Risk Using Structured Products. INDEX.
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