Research Catalog

Title

Perspectives on interest rate risk management for money managers and traders / edited by Frand J. Fabozzi.

Publication

New Hope, PA : Frank J. Fabozzi Associates, [1998], ©1998.

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Holdings

Details

Additional Authors

• Fabozzi, Frank J.
• Frank J. Fabozzi Associates.

Description

iv, 268 pages : illustrations; 26 cm

Alternative Title

Interest rate risk management for money managers and traders

Subject

• Interest rate risk
• Risk management
• Portfolio management
• Financial institutions > Management

Bibliography (note)

• Includes bibliographical references and index.

Contents

• 1. Interest Rate Models / Oren Cheyette -- 2. Fixed Income Risk / Ronald N. Kahn -- 3. A Primer on Value at Risk / Michael Minnich -- 4. Portfolio Risk Management / H. Gifford Fong and Oldrich A. Vasicek -- 5. Advanced Risk Measures for Fixed-Income Securities / Teri Geske and Gunnar Klinkhammer -- 6. Dissecting Yield Curve Risk / Wesley Phoa -- 7. Measuring and Managing Interest-Rate Risk / Scott F. Richard and Benjamin J. Gord -- 8. Value Measures for Managing Interest-Rate Risk / Michele A. Kreisler and Richard B. Worley -- 9. Improved Measurement of Duration Contributions of Foreign Bonds in Domestic Portfolios / Ram Willner -- 10. The Basics of Cash-Market Hedging / Shrikant Ramamurthy -- 11. Hedging Fixed-Income Securities with Interest-Rate Swaps / Shrikant Ramamurthy -- 12. Hedging Mortgage Passthrough Securities / Kenneth B. Dunn and Roberto M. Sella -- 13. Measuring Plausibility of Hypothetical Interest Rate Shocks / Bennett W. Golub and Leo M. Tilman --
• 14. Yield Curve Risk Management / Robert R. Reitano -- 15. Non-Hedgable Risk: Model Risk / Jingxi Liu and Biao Lu -- 16. Measuring and Forecasting Yield Volatility / Frank J. Fabozzi and Wai Lee.

ISBN

1883249295

OCLC

ocm39616513

Owning Institutions

Columbia University Libraries