Description of Measuring and Controlling Interest Rate and Credit Risk
"Measuring and Controlling Interest Rate and Credit Risk" provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position. "Measuring and Controlling Interest Rate and Credit Risk" is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in depth, up to date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging. Frank J. Fabozzi (New Hope, PA) 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. Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London. Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the "Journal of Bond Trading and Management". He has authored a number of books on fixed income analysis and the capital markets. Moorad began his city career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice president in Structured Finance Services with JPMorgan Chase Bank in London.
Contents of Measuring and Controlling Interest Rate and Credit Risk
Preface
About the Authors
1. Introduction
2. Valuation
3. Tools for Measuring Level Interest Rate Risk
4. Measuring Yield Curve Risk
5. Probability Distributions and Their Properties
6. Correlation Analysis and Regression Analysis
7. Measuring and Forecasting Yield Volatility
8. Measuring Interest Rate Risk with Value-at-Risk
9. Futures and Forward Rate Agreements
10. Interest Rate Swaps and Swaptions
11. Exchange-Traded Options
12. OTC Options and Related Products
13. Controlling Interest Rate Risk with Derivatives
14. Controlling Interest Rate Risk of an MBS Derivative Portfolio
15. Credit Risk and Credit Value-at-Risk
16. Credit Derivatives: Instruments and Applications
17. Credit Derivative Valuation
18. Managing Credit Risk Using Structured Products
Index
About Frank J. Fabozzi, Steven V. Mann and Moorad Choudhry
FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and a consultant in the fixed-income and derivatives area. Frank is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University. STEVEN V. MANN, PhD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has coauthored three previous books and numerous articles in the area of investments, primarily fixed-income securities and derivatives. Professor Mann is an accomplished teacher, winning twenty awards for excellence in teaching. He also works as a consultant to investment/commercial banks and has conducted training programs for financial institutions throughout the United States. MOORAD CHOUDHRY is a vice president in structured finance services with JPMorgan Chase Bank in London. Prior to this, he worked as a government bond trader and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad is a Fellow of the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management.
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