Measuring and Controlling Interest Rate and Credit Risk

Measuring and Controlling Interest Rate and Credit Riskprovides keys to using derivatives to control interest rate riskand credit risk, and controlling interest rate risk in amortgage-backed securities derivative portfolio. This book includesinformation on measuring yield curve risk, swaps andexchange-traded options, TC options and related products, anddescribes how to measure and control the interest rate of risk of abond portfolio or trading position. Measuring and Controlling Interest Rate and Credit Riskis a systematic evaluation of how to measure and control theinterest rate risk and credit risk of a bond portfolio or tradingposition, defining key points in the process of risk management asrelated to financial situations. The authors construct a verbalflow chart, defining and illustrating interest rate risk and creditrisk in regards to valuation, probability distributions,forecasting yield volatility, correlation and regression analyses.Hedging instruments discussed include futures contracts, interestrate swaps, exchange traded options, OTC options, and creditderivatives. The text includes calculated examples and readers willlearn how to measure and control the interest rate risk and creditrisk of a bond portfolio or trading position. They will discovervalue at risk approaches, valuation, probability distributions,yield volatility, futures, interest rate swaps, exchange tradedfunds; and find in-depth, up-to-date information on measuringinterest rate with derivatives, quantifying the results ofpositions, and hedging. Frank J. Fabozzi (New Hope, PA) is a financial consultant, theEditor of the Journal of Portfolio Management, and an AdjunctProfessor of Finance at Yale University?s School of Management. Steven V. Mann (Columbia, SC) is Professor of Finance at theMoore School of Business, University of South Carolina. MooradChoudhry (Surrey, UK) is a Vice President with JPMorgan Chasestructured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at theCentre for Mathematical Trading and Finance, CASS Business School,London, and is Editor of the Journal of Bond Trading andManagement. He has authored a number of books on fixed incomeanalysis and the capital markets. Moorad began his City career withABN Amro Hoare Govett Sterling Bonds Limited, where he worked as agilt-edged market maker, and Hambros Bank Limited where he was asterling proprietary trader. He is currently a vice-president inStructured Finance Services with JPMorgan Chase Bank in London.