Measuring and Controlling Interest Rate and Credit Risk
Contents
Preface.......................................................................................vii
About the Authors.............................................................................ix
CHAPTER 1 Introduction.......................................................................1
CHAPTER 2 Valuation..........................................................................11
CHAPTER 3 Tools for Measuring Level Interest Rate Risk.......................................53
CHAPTER 4 Measuring Yield Curve Risk.........................................................109
CHAPTER 5 Probability Distributions and Their Properties.....................................141
CHAPTER 6 Correlation Analysis and Regression Analysis.......................................161
CHAPTER 7 Measuring and Forecasting Yield Volatility.........................................181
CHAPTER 8 Measuring Interest Rate Risk with Value-at-Risk....................................197
CHAPTER 9 Futures and Forward Rate Agreements............................. ... read full excerpt from Measuring and Controlling Interest Rate and Credit Risk, 2nd Edition ebook
