Measuring and controlling interest rate risk / Frank J. Fabozzi
Imprint
New Hope, Pa. : Frank J. Fabozzi Associates, c1996
Descript
ix, 300 p
CONTENT
Overview of measurement and control of interest rate risk -- Valuation -- Measuring level risk : duration and convexity -- Measuring yield curve risk -- Probability distributions and their properties -- Measuring and forecasting yield volatility from historical data -- Correlation analysis and regression analysis -- Futures and forward contracts -- Interest rate swaps -- Exchange - traded options -- OTC options and related products -- Controlling interest rate risk with derivatives -- Controlling interest rate risk of an MBS derivative portfolio