Interest rate volatility can wreak havoc with the balance sheets of institutional investors, traders, and corporations. In this important book, leading experts in the field discuss methods for measuring and hedging interest rate risk. The book covers basic techniques, as well as state-of-the-art applications. Specific topics include portfolio risk management, value-at-risk, yield curve risk, interest rate models, advanced risk measurements, interest rate swaps, and measuring and forecasting interest rate volatility.

About the Author
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.


Book Information
ISBN 9781883249298
Author Frank J. Fabozzi
Format Hardback
Page Count 272
Imprint John Wiley & Sons Inc
Publisher John Wiley & Sons Inc
Weight(grams) 551g
Dimensions(mm) 235mm * 160mm * 20mm