Measuring and Controlling Interest Rate and Credit Risk
Measuring and Controlling Interest Rate and Credit Risk offers a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position under various financial conditions. It clearly defines and illustrates interest rate risk and credit risk using practical examples with market data. This book also discusses various hedging instruments, including futures contracts, interest rate swaps, exchange-traded options, OTC options, and credit derivatives.
Measuring and Controlling Interest Rate and Credit Risk is filled with calculated examples and tables that will aid you in understanding numerous important issues such as:
- Measuring yield curve risk
- Controlling interest rate risk with derivatives
- Forecasting yield volatility
- Implementing Value at Risk (VaR) approaches to measure interest rate risk
- Performing credit derivative valuation
- Managing credit risk using credit derivatives and structured products