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Interest Rate Risk Modeling

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Unlike other books in fixed-income valuation, which are either too rig-
orous but mathematically demanding, or easy-to-read but lacking in impor-
tant details, our goal is to provide readability with sufficient rigor. In the
first book, we give a basic introduction to various fixed-income securities
and their derivatives. The principal focus of this book is on measuring and
managing interest rate risk arising from general nonparallel rate changes in
the term structure of interest rates. This book covers five types of interest
rate risk models in the fixed-income literature. These models can be applied
in a variety of contexts by financial institutions ranging from commercial
banks to fixed-income hedge funds. These institutions can design and exe-
cute strategies that range from simplest duration-based hedging to the more
sophisticated immunization or speculative yield-curve programs, based on
multiple risk measures with off-balance sheet positions in swaps, interest
rate options, and interest rate futures.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

332.63 SAN i

Penerbit

New Jersey : John Wiley & Sons, Inc.., 2005

Deskripsi Fisik

430 hlm

Bahasa

English

ISBN/ISSN

9780471427247

Klasifikasi

332.63

Tipe Isi

text

Tipe Media

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Tipe Pembawa

-

Edisi

Ed.1

Subjek

Umum
ebook

Info Detail Spesifik

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Pernyataan Tanggungjawab

SANJAY K. NAWALKHA

Versi lain/terkait

Lampiran Berkas

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