Measuring and Controlling Interest Rate and Credit Risk by Frank J. Fabozzi

by Frank J. Fabozzi

Measuring and Controlling Interest Rate Risk provides an examination of various techniques for measuring and controlling the interest rate risk of a bond portfolio or trading position. Generously supplemented with tables and calculated examples, this authoritative book also gives comprehensive coverage defining and illustrating interest rate risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses, futures and forward contracts, interest rate swaps, exchange traded options, OTC options, and controlling interest rate risk with derivatives.

Hardcover

First published August 1, 1996

About the author

Frank J. Fabozzi is a Professor in the Practice of Finance and Becton Fellow in the Yale School of Management. He is well known as the author of numerous books on finance, both practitioner-focused and academic. Professor Frank J. Fabozzi will be joining Edhec Risk Institute on August 1, 2011. EDHEC-Risk Institute is part of EDHEC Business School, one of Europe’s leading business schools.