Measuring and controlling interest rate risk:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Hope, Pa.
Frank J. Fabozzi Assoc.
1996
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX,300 S. graph. Darst. |
| ISBN: | 1883249090 |
Internformat
MARC
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| 650 | 4 | |a Taux d'intérêt - Gestion du risque - Modèles mathématiques | |
| 650 | 4 | |a Interest rates | |
| 650 | 4 | |a Investments | |
| 650 | 4 | |a Risk | |
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Datensatz im Suchindex
| _version_ | 1804125731098198016 |
|---|---|
| adam_text | TABLE OF CONTENTS
Table of Contents vii
Acknowledgements viii
Index of Advertisers ix
1. Overview of Measurement and Control of Interest Rate Risk 1
2. Valuation 9
3. Measuring Level Risk: Duration and Convexity 43
4. Measuring Yield Curve Risk 69
5. Probability Distributions and their Properties 87
6. Measuring and Forecasting Yield Volatility from Historical Data 105
7. Correlation Analysis and Regression Analysis 121
8. Futures and Forward Contracts 137
9. Interest Rate Swaps 163
10. Exchange Traded Options 181
11. OTC Options and Related Products 203
12. Controlling Interest Rate Risk with Derivatives 221
13. Controlling Interest Rate Risk of an MBS Derivative Portfolio 259
Index 287
vii
|
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:06:13Z |
| institution | BVB |
| isbn | 1883249090 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007536570 |
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| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Measuring and controlling interest rate risk Frank J. Fabozzi New Hope, Pa. Frank J. Fabozzi Assoc. 1996 IX,300 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Analyse financière - Modèles mathématiques Investissements - Modèles mathématiques Taux d'intérêt - Gestion du risque - Modèles mathématiques Interest rates Investments Risk Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Wertpapieranlage (DE-588)4189703-1 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 s Wertpapieranlage (DE-588)4189703-1 s Bewertung (DE-588)4006340-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007536570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fabozzi, Frank J. 1948- Measuring and controlling interest rate risk Analyse financière - Modèles mathématiques Investissements - Modèles mathématiques Taux d'intérêt - Gestion du risque - Modèles mathématiques Interest rates Investments Risk Zinsänderungsrisiko (DE-588)4067851-9 gnd Bewertung (DE-588)4006340-9 gnd Wertpapieranlage (DE-588)4189703-1 gnd |
| subject_GND | (DE-588)4067851-9 (DE-588)4006340-9 (DE-588)4189703-1 |
| title | Measuring and controlling interest rate risk |
| title_auth | Measuring and controlling interest rate risk |
| title_exact_search | Measuring and controlling interest rate risk |
| title_full | Measuring and controlling interest rate risk Frank J. Fabozzi |
| title_fullStr | Measuring and controlling interest rate risk Frank J. Fabozzi |
| title_full_unstemmed | Measuring and controlling interest rate risk Frank J. Fabozzi |
| title_short | Measuring and controlling interest rate risk |
| title_sort | measuring and controlling interest rate risk |
| topic | Analyse financière - Modèles mathématiques Investissements - Modèles mathématiques Taux d'intérêt - Gestion du risque - Modèles mathématiques Interest rates Investments Risk Zinsänderungsrisiko (DE-588)4067851-9 gnd Bewertung (DE-588)4006340-9 gnd Wertpapieranlage (DE-588)4189703-1 gnd |
| topic_facet | Analyse financière - Modèles mathématiques Investissements - Modèles mathématiques Taux d'intérêt - Gestion du risque - Modèles mathématiques Interest rates Investments Risk Zinsänderungsrisiko Bewertung Wertpapieranlage |
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