This complete practitioner's manual covers every major topic in interest rate risk management with detailed analysis and full treatment of equations and statisical measures.
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Complete description
"Interest Rate Risk Measurement and Management" presents a collection of the key contributions in fixed-income investment research. This complete practitioners' manual showcases every major topic in interest rate risk management with detailed analyses and full treatment of equations and statistical measures. It is a substantial investment resource on: single and multi-factor duration risk measures; interest rate risk models for fixed income derivatives; and interest rate risk models for depositories, thrifts, the FDIC, insurers and pension funds.
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Summary
Interest Rate Risk Measurement and Management
Introduction - interest rate risk measurement and management - an overview. Part 1 Single and multiple factor interest rate risk models: first order duration risk measures; second order duration risk measures; higher order duration risk measures and other multi-factor interest rate risk models. Part 2 Interest rate risk models for fixed income derivative securities: interest rate risk models for general interest rate contingent claims; interest rate risk models for mortgage-backed securities - recipes for improvement; interest rate risk models for default-prone corporate bonds; interest rate risk models for floating rate securities with embedded options. Part 3 Interest rate risk models for financial institutions and regulators: interest rate risk models for depository institutions and the FDIC; interest rate risk models for insurance companies and pension funds.
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