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Measuring and Controlling Interest Rate and Credit Risk

2003-09-10 Business & Economics
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Release : 2003-09-10
Genre : Business & Economics
Kind : eBook
Book Rating : 918/5 ( reviews)

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Book Synopsis Measuring and Controlling Interest Rate and Credit Risk by : Frank J. Fabozzi

Download or read book Measuring and Controlling Interest Rate and Credit Risk written by Frank J. Fabozzi. This book was released on 2003-09-10. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Measuring and Controlling Interest Rate Risk

1996-08-15 Business & Economics
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Release : 1996-08-15
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Measuring and Controlling Interest Rate Risk by : Frank J. Fabozzi

Download or read book Measuring and Controlling Interest Rate Risk written by Frank J. Fabozzi. This book was released on 1996-08-15. Available in PDF, EPUB and Kindle. Book excerpt: Fabozzi provides an explanation of concepts such as duration and convexivity, as well as more advanced topics such as probability distributions and regression analysis. He also gives keys to using derivatives to control interest rate risk

Measuring and Managing Credit Risk

2004-05-05 Business & Economics
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Release : 2004-05-05
Genre : Business & Economics
Kind : eBook
Book Rating : 00X/5 ( reviews)

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Book Synopsis Measuring and Managing Credit Risk by : Arnaud de Servigny

Download or read book Measuring and Managing Credit Risk written by Arnaud de Servigny. This book was released on 2004-05-05. Available in PDF, EPUB and Kindle. Book excerpt: Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad” Key determinants of loss given default, and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation, and the impact of correlation on portfolio losses A detailed review of five of today’s most popular portfolio models—CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager How credit risk is reflected in the prices and yields of individual securities How derivatives and securitization instruments can be used to transfer and repackage credit risk Today’s credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible—and mitigate it when necessary.

International Convergence of Capital Measurement and Capital Standards

2004 Bank capital
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Release : 2004
Genre : Bank capital
Kind : eBook
Book Rating : 695/5 ( reviews)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by . This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt:

Credit Risk Measurement

2002-10-06 Business & Economics
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Release : 2002-10-06
Genre : Business & Economics
Kind : eBook
Book Rating : 763/5 ( reviews)

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Book Synopsis Credit Risk Measurement by : Anthony Saunders

Download or read book Credit Risk Measurement written by Anthony Saunders. This book was released on 2002-10-06. Available in PDF, EPUB and Kindle. Book excerpt: The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

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