Measuring and controlling interest rate and credit risk:
Saved in:
| Previous Title: | Fabozzi, Frank J. Measuring and controlling interest rate risk |
|---|---|
| Main Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, New Jersey
Wiley
2003
|
| Edition: | 2. ed. |
| Series: | The Frank J. Fabozzi series
|
| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | ix, 533 p. ill. : 24 cm |
| ISBN: | 0471268062 |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV017793400 | ||
| 003 | DE-604 | ||
| 005 | 20070525 | ||
| 007 | t | ||
| 008 | 040120s2003 xxua||| |||| 00||| eng d | ||
| 010 | |a 2003284260 | ||
| 020 | |a 0471268062 |9 0-471-26806-2 | ||
| 035 | |a (OCoLC)248946047 | ||
| 035 | |a (DE-599)BVBBV017793400 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c US | ||
| 049 | |a DE-355 |a DE-91G |a DE-1102 |a DE-521 |a DE-188 | ||
| 050 | 0 | |a HG6024.5.F32 2003 | |
| 082 | 0 | |a 332.632 |2 21 | |
| 082 | 0 | |a 332.632 21 | |
| 084 | |a QK 800 |0 (DE-625)141681: |2 rvk | ||
| 084 | |a WIR 170f |2 stub | ||
| 100 | 1 | |a Fabozzi, Frank J. |d 1948- |e Verfasser |0 (DE-588)129772054 |4 aut | |
| 245 | 1 | 0 | |a Measuring and controlling interest rate and credit risk |c Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Hoboken, New Jersey |b Wiley |c 2003 | |
| 300 | |a ix, 533 p. |b ill. : 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a The Frank J. Fabozzi series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Interest rate risk | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Derivative securities | |
| 650 | 0 | 7 | |a Bewertung |0 (DE-588)4006340-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Wertpapieranlage |0 (DE-588)4189703-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zinsänderungsrisiko |0 (DE-588)4067851-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Zinsänderungsrisiko |0 (DE-588)4067851-9 |D s |
| 689 | 0 | 1 | |a Wertpapieranlage |0 (DE-588)4189703-1 |D s |
| 689 | 0 | 2 | |a Bewertung |0 (DE-588)4006340-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Zinsänderungsrisiko |0 (DE-588)4067851-9 |D s |
| 689 | 1 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 1 | |5 DE-188 | |
| 689 | 2 | 0 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 2 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 2 | |5 DE-188 | |
| 700 | 1 | |a Mann, Steven V. |e Sonstige |4 oth | |
| 700 | 1 | |a Choudhry, Moorad |e Sonstige |4 oth | |
| 780 | 0 | 0 | |i 1. Auflage |a Fabozzi, Frank J. |t Measuring and controlling interest rate risk |
| 856 | 4 | |u http://www.loc.gov/catdir/description/wiley041/2003284260.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/toc/wiley041/2003284260.html |3 Table of contents | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010684202&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-010684202 | ||
Record in the Search Index
| _version_ | 1804130492452175872 |
|---|---|
| adam_text | Contents
Preface wii
About the Authors ix
CHAPTER 1
Introduction
CHAPTER 2
Valuation 11
CHAPTER 3
Tools for Measuring Level Interest Rate Risk 53
CHAPTER 4
Measuring Yield Curve Risk 1US
CHAPTER 5
Probability Distributions and Their Properties 141
CHAPTER 6
Correlation Analysis and Regression Analysis 1 oi
CHAPTER 7
Measuring and Forecasting Yield Volatility â„¢i
CHAPTER 8 .„
Measuring Interest Rate Risk with Value at Risk 197
CHAPTER 9
Futures and Forward Rate Agreements «»
CHAPTER 10
Interest Rate Swans and Swaptions Z57
V
VI Contents
CHAPTER 11
Exchange Traded Options 299
CHAPTER 12
OTC Options and Related Products 327
CHAPTER 13
Controlling Interest Rate Risk with Derivatives 349
CHAPTER 14
Controlling Interest Rate Risk of an MBS Derivative Portfolio 393
CHAPTER 15
Credit Risk and Credit Value at Risk 425
CHAPTER 16
Credit Derivatives: Instruments and Applications 461
CHAPTER 17
Credit Derivative Valuation 485
CHAPTER 18
Managing Credit Risk Using Structured Products 499
INDEX 513
|
| any_adam_object | 1 |
| author | Fabozzi, Frank J. 1948- |
| author_GND | (DE-588)129772054 |
| author_facet | Fabozzi, Frank J. 1948- |
| author_role | aut |
| author_sort | Fabozzi, Frank J. 1948- |
| author_variant | f j f fj fjf |
| building | Verbundindex |
| bvnumber | BV017793400 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.5.F32 2003 |
| callnumber-search | HG6024.5.F32 2003 |
| callnumber-sort | HG 46024.5 F32 42003 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 800 |
| classification_tum | WIR 170f |
| ctrlnum | (OCoLC)248946047 (DE-599)BVBBV017793400 |
| dewey-full | 332.632 332.63221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632 332.632 21 |
| dewey-search | 332.632 332.632 21 |
| dewey-sort | 3332.632 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02716nam a2200673zc 4500</leader><controlfield tag="001">BV017793400</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20070525 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">040120s2003 xxua||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2003284260</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0471268062</subfield><subfield code="9">0-471-26806-2</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)248946047</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV017793400</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.5.F32 2003</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.632</subfield><subfield code="2">21</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.632 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 800</subfield><subfield code="0">(DE-625)141681:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 170f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Fabozzi, Frank J.</subfield><subfield code="d">1948-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)129772054</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Measuring and controlling interest rate and credit risk</subfield><subfield code="c">Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hoboken, New Jersey</subfield><subfield code="b">Wiley</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">ix, 533 p.</subfield><subfield code="b">ill. : 24 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">The Frank J. Fabozzi series</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rate risk</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bewertung</subfield><subfield code="0">(DE-588)4006340-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wertpapieranlage</subfield><subfield code="0">(DE-588)4189703-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zinsänderungsrisiko</subfield><subfield code="0">(DE-588)4067851-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Zinsänderungsrisiko</subfield><subfield code="0">(DE-588)4067851-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Wertpapieranlage</subfield><subfield code="0">(DE-588)4189703-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Bewertung</subfield><subfield code="0">(DE-588)4006340-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Zinsänderungsrisiko</subfield><subfield code="0">(DE-588)4067851-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Mann, Steven V.</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Choudhry, Moorad</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="780" ind1="0" ind2="0"><subfield code="i">1. Auflage</subfield><subfield code="a">Fabozzi, Frank J.</subfield><subfield code="t">Measuring and controlling interest rate risk</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/description/wiley041/2003284260.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/toc/wiley041/2003284260.html</subfield><subfield code="3">Table of contents</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010684202&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-010684202</subfield></datafield></record></collection> |
| id | DE-604.BV017793400 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:21:54Z |
| institution | BVB |
| isbn | 0471268062 |
| language | English |
| lccn | 2003284260 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010684202 |
| oclc_num | 248946047 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-91G DE-BY-TUM DE-1102 DE-521 DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-91G DE-BY-TUM DE-1102 DE-521 DE-188 |
| physical | ix, 533 p. ill. : 24 cm |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Measuring and controlling interest rate and credit risk Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry 2. ed. Hoboken, New Jersey Wiley 2003 ix, 533 p. ill. : 24 cm txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Includes bibliographical references and index Interest rate risk Risk management Portfolio management Derivative securities Bewertung (DE-588)4006340-9 gnd rswk-swf Wertpapieranlage (DE-588)4189703-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 s Wertpapieranlage (DE-588)4189703-1 s Bewertung (DE-588)4006340-9 s DE-604 Risikomanagement (DE-588)4121590-4 s DE-188 Kreditrisiko (DE-588)4114309-7 s Mann, Steven V. Sonstige oth Choudhry, Moorad Sonstige oth 1. Auflage Fabozzi, Frank J. Measuring and controlling interest rate risk http://www.loc.gov/catdir/description/wiley041/2003284260.html Publisher description http://www.loc.gov/catdir/toc/wiley041/2003284260.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010684202&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fabozzi, Frank J. 1948- Measuring and controlling interest rate and credit risk Interest rate risk Risk management Portfolio management Derivative securities Bewertung (DE-588)4006340-9 gnd Wertpapieranlage (DE-588)4189703-1 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4189703-1 (DE-588)4121590-4 (DE-588)4114309-7 (DE-588)4067851-9 |
| title | Measuring and controlling interest rate and credit risk |
| title_auth | Measuring and controlling interest rate and credit risk |
| title_exact_search | Measuring and controlling interest rate and credit risk |
| title_full | Measuring and controlling interest rate and credit risk Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry |
| title_fullStr | Measuring and controlling interest rate and credit risk Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry |
| title_full_unstemmed | Measuring and controlling interest rate and credit risk Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry |
| title_old | Fabozzi, Frank J. Measuring and controlling interest rate risk |
| title_short | Measuring and controlling interest rate and credit risk |
| title_sort | measuring and controlling interest rate and credit risk |
| topic | Interest rate risk Risk management Portfolio management Derivative securities Bewertung (DE-588)4006340-9 gnd Wertpapieranlage (DE-588)4189703-1 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| topic_facet | Interest rate risk Risk management Portfolio management Derivative securities Bewertung Wertpapieranlage Risikomanagement Kreditrisiko Zinsänderungsrisiko |
| url | http://www.loc.gov/catdir/description/wiley041/2003284260.html http://www.loc.gov/catdir/toc/wiley041/2003284260.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010684202&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT fabozzifrankj measuringandcontrollinginterestrateandcreditrisk AT mannstevenv measuringandcontrollinginterestrateandcreditrisk AT choudhrymoorad measuringandcontrollinginterestrateandcreditrisk |