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Measuring and Controlling Interest Rate and Credit Risk

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  • 533 Seiten
  • 19 Lesestunden

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Focusing on risk management, this book offers insights into using derivatives to effectively manage interest rate and credit risks, particularly in mortgage-backed securities portfolios. It covers essential topics such as measuring yield curve risk, employing swaps and exchange-traded options, and utilizing TC options. Additionally, it provides strategies for assessing and controlling interest rate risks associated with bond portfolios and trading positions, making it a valuable resource for finance professionals.

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Measuring and Controlling Interest Rate and Credit Risk, Frank J. Fabozzi, Moorad Choudhry, Steven V. Mann

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Erscheinungsdatum
2003
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(Hardcover)
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