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Measuring and controlling interest rate and credit risk 2nd ed

Measuring and controlling interest rate and credit risk 2nd ed (Loan 3 times)

Material type
단행본
Personal Author
Fabozzi, Frank J. Mann, Steven V. Choudhry, Moorad.
Title Statement
Measuring and controlling interest rate and credit risk / Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry.
판사항
2nd ed.
Publication, Distribution, etc
Hoboken, New Jersey :   Wiley,   2003.  
Physical Medium
ix, 533 p. : ill. ; 24 cm.
Series Statement
The Frank J. Fabozzi series
ISBN
0471268062
General Note
Previous ed.: published as by Frank J. Fabozzi, Summit, N.J.: Frank J. Fabozzi Associates, 1996.  
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Interest rate risk. Risk management. Portfolio management. Derivative securities.
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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

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 B M
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 M
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 B M
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 M

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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