  Measuring and Controlling Interest Rate and Credit Risk, 2nd Edition
ISBN: 978-0-471-26806-2
Hardcover
533 pages
September 2003
US $100.00
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About the Authors.
CHAPTER 1: Introduction.
CHAPTER 2: Valuation.
CHAPTER 3: Tools for Measuring Level Interest Rate Risk.
CHAPTER 4: Measuring Yield Curve Risk.
CHAPTER 5: Probability Distributions and Their Properties.
CHAPTER 6: Correlation Analysis and Regression Analysis.
CHAPTER 7: Measuring and Forecasting Yield Volatility.
CHAPTER 8: Measuring Interest Rate Risk with Value-at-Risk.
CHAPTER 9: Futures and Forward Rate Agreements.
CHAPTER 10: Interest Rate Swaps and Swaptions.
CHAPTER 11: Exchange-Traded Options.
CHAPTER 12: OTC Options and Related Products.
CHAPTER 13: Controlling Interest Rate Risk with Derivatives.
CHAPTER 14: Controlling Interest Rate Risk of an MBS Derivative Portfolio.
CHAPTER 15: Credit Risk and Credit Value-at-Risk.
CHAPTER 16: Credit Derivatives: Instruments and Applications.
CHAPTER 17: Credit Derivative Valuation.
CHAPTER 18: Managing Credit Risk Using Structured Products.
INDEX.
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