Perspectives on Interest Rate Risk Management for Money Managers and Traders
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experts
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important book
institutional
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methods
models
portfolio
rate
risk
sheets
specific
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techniques
topics
volatility
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Product details
- ISBN 9781883249298
- Weight: 551g
- Dimensions: 160 x 235mm
- Publication Date: 28 Feb 1998
- Publisher: John Wiley & Sons Inc
- Publication City/Country: US
- Product Form: Hardback
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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.
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.
