Perspectives on Interest Rate Risk Management for Money Managers and Traders / Edition 1

by Frank J. Fabozzi

Overview

Interest rate volatility can wreak havoc with the balance sheets of institutional investors, traders, and corporations. In this important book, leading experts in the field discuss methods for measuring and hedging interest rate risk. The book covers basic techniques, as well as state-of-the-art applications. Specific topics include portfolio risk management, value-at-risk, yield curve risk, interest rate models, advanced risk measurements, interest rate swaps, and measuring and forecasting interest rate volatility.

Product Details

ISBN-13:	9781883249298
Publisher:	Wiley
Publication date:	02/15/1998
Series:	Frank J. Fabozzi Series , #28
Pages:	272
Product dimensions:	6.30(w) x 9.25(h) x 0.80(d)

About the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

Contributing Authors.

1. Interest Rate Models (O. Cheyette).

2. Fixed Income Risk (R. Kahn).

3. A Primer on Value at Risk (M. Minnich).

4. Portfolio Risk Management (H. Fong and O. Vasicek).

5. Advanced Risk Measures for Fixed-Income Securities (T. Geske and G. Klinkhammer).

6. Dissecting Yield Curve Risk (W. Phoa).

7. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).

8. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).

9. Improved Measurement of Duration Contributions of Foreign Bonds in Domestic Portfolios (R. Willner).

10. The Basics of Cash-Market Hedging (S. Ramamurthy).

11. Hedging Fixed-Income Securities with Interest-Rate Swaps (S. Ramamurthy).

12. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).

13. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).

14. Yield Curve Risk Management (R. Reitano).

15. Non-Hedgable Risk: Model Risk (J. Liu and B. Lu).

16. Measuring and Forecasting Yield Volatility (F. Fabozzi and W. Lee).

Index.