| 000 | 01450camuu2200361 a 4500 | |
| 001 | 000045122373 | |
| 005 | 20050906142119 | |
| 008 | 031223s2003 njua b 001 0 eng d | |
| 020 | ▼a 0471268062 | |
| 040 | ▼a PUL ▼c PUL ▼d DLC ▼d 244002 ▼d 211009 | |
| 042 | ▼a pcc | |
| 050 | 0 0 | ▼a HG6024.5 ▼b .F32 2003 |
| 082 | 0 4 | ▼a 332.6323 ▼2 21 |
| 090 | ▼a 332.6323 ▼b F121m2 | |
| 100 | 1 | ▼a Fabozzi, Frank J. |
| 245 | 1 0 | ▼a Measuring and controlling interest rate and credit risk / ▼c Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry. |
| 250 | ▼a 2nd ed. | |
| 260 | ▼a Hoboken, New Jersey : ▼b Wiley, ▼c 2003. | |
| 300 | ▼a ix, 533 p. : ▼b ill. ; ▼c 24 cm. | |
| 440 | 4 | ▼a The Frank J. Fabozzi series |
| 500 | ▼a Previous ed.: published as by Frank J. Fabozzi, Summit, N.J.: Frank J. Fabozzi Associates, 1996. | |
| 504 | ▼a Includes bibliographical references and index. | |
| 650 | 0 | ▼a Interest rate risk. |
| 650 | 0 | ▼a Risk management. |
| 650 | 0 | ▼a Portfolio management. |
| 650 | 0 | ▼a Derivative securities. |
| 700 | 1 | ▼a Mann, Steven V. |
| 700 | 1 | ▼a Choudhry, Moorad. |
| 945 | ▼a KINS |
Holdings Information
| No. | Location | Call Number | Accession No. | Availability | Due Date | Make a Reservation | Service |
|---|---|---|---|---|---|---|---|
| No. 1 | Location Main Library/Western Books/ | Call Number 332.6323 F121m2 | Accession No. 111325233 | Availability Available | Due Date | Make a Reservation | Service |
| No. 2 | Location Sejong Academic Information Center/Social Science/ | Call Number 332.6323 F121m2 | Accession No. 151160559 | Availability Available | Due Date | Make a Reservation | Service |
| No. | Location | Call Number | Accession No. | Availability | Due Date | Make a Reservation | Service |
|---|---|---|---|---|---|---|---|
| No. 1 | Location Main Library/Western Books/ | Call Number 332.6323 F121m2 | Accession No. 111325233 | Availability Available | Due Date | Make a Reservation | Service |
| No. | Location | Call Number | Accession No. | Availability | Due Date | Make a Reservation | Service |
|---|---|---|---|---|---|---|---|
| No. 1 | Location Sejong Academic Information Center/Social Science/ | Call Number 332.6323 F121m2 | Accession No. 151160559 | Availability Available | Due Date | Make a Reservation | Service |
Contents information
Table of Contents
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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