Measuring and Controlling Interest Rate Risk
- List Price: $98.00
- Binding: Hardcover
- Publisher: John Wiley & Sons
- Publish date: 08/01/1996
Description:
Table of Contents.Acknowledgements.Index of Advertisers.1. Overview of Measurement and Control of Interest Rate Risk.2. Valuation.3. Measuring Level Risk: Duration and Convexity.4. Measuring Yield Curve Risk.5. Probability Distributions and their Properties.6. Measuring and Forecasting Yield Volatility from Historical Data.7. Correlation Analysis and Regression Analysis.8. Futures and Forward Contracts.9. Interest Rate Swaps.10. Exchange-Traded Options.11. OTC Option and Related Products.12. Controlling Interest Rate Risk with Derivatives.13. Controlling Interest Rate Risk of an MBS Derivative Portfolio.Index.
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