Interest Rate Risk Modeling : The Fixed Income Valuation Course

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9780471427247: Interest Rate Risk Modeling : The Fixed Income Valuation Course

The definitive guide to fixed income valuation and risk analysis

The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

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From the Inside Flap:

The importance of managing interest rate risk cannot be overstated. The explosive growth of interest rate swaps over the last quarter century is a telling sign that financial institutions and other market participants are concerned about the risk interest rates pose. Yet there is no easy way to address this issue. This book—the first of three in the Fixed Income Valuation Course—seeks to improve the current information available on interest rate risk, and upgrade your understanding of how to measure and manage it.

Written by fixed income specialists Sanjay Nawalkha, Gloria Soto, and Natalia Beliaeva, Interest Rate Risk Modeling offers a detailed introduction to the various modeling techniques used by today's fixed income professionals. Whether you're measuring the non-parallel durations of a naked call option, adjusting the notional amounts in swaps and caps using the LIBOR market model, or computing the durations of default-prone bonds using the cutting-edge first-passage probability models, this book has what you need to succeed in a volatile interest rate environment. It examines the latest innovations in the area of interest rate risk management and provides a detailed look at the most widely used models in this field, including duration, convexity, M-absolute, M-square, duration vector, key rate durations, principal component durations, and others.

Interest Rate Risk Modeling also illustrates the applications of these models to regular bonds, callable bonds, T-Bill futures, T-Bond futures, Eurodollar futures, interest rate swaps, forward rate agreements, bond options, yield options (caps, floors, and collars), swaptions, mortgage-backed securities, and default-prone coupon bonds.

Accompanying the authors' in-depth insights and practical advice found within these pages is an information-packed CD-ROM that can show a term structure "movie" or estimate yield curves in seconds, in addition to solving the advanced risk management models. This electronic companion contains Excel®/VBA® spreadsheets for hands-on analysis, using various models presented in the book. Through a user-friendly format, these spreadsheets compute non-parallel interest rate risk measures for a variety of interest rate derivatives, and can implement passive portfolio strategies, such as immunization and index replication, or speculative strategies based upon expected yield curve movements.

Whether you are a manager of a pension bond fund, a manager of GICs at an insurance company, an analyst at a speculative hedge fund, or a VP at a commercial bank, if you want to excel at measuring and managing interest rate risk, you have to understand how to model it. Interest Rate Risk Modeling can show you how.

For more information on the three books in this course, including demo software and special features, please visit www.fixedincomerisk.com.

From the Back Cover:

Praise for Interest Rate Risk Modeling

"This first book in the fixed income valuation course provides a solid, up-to-date introduction to the field of interest rate risk, and covers all bases in leading up to the complex area of fixed-income option models. For the more experienced, this is an excellent guide to the state of the art, and provides models coupled with software to make the practical use of the ideas therein feasible."
—Sanjiv Ranjan Das, Co-Editor, Journal of Derivatives, and Associate Professor of Finance, Santa Clara University

"The trilogy on the fixed income course is the first one with hands on Excel/VBA software for fixed income professionals. These are terrific books for all fixed income practitioners."
—Frank J. Fabozzi, Editor, Journal of Portfolio Management, and Frederick Frank Adjunct Professor of Finance, Yale University .

"The authors are commended in expositing the many interest rate risk measures in a coherent way. This book describes the theories, implementations and applications of these measures with clarity and rigor. Further, the software assists students and practitioners alike to learn about them effectively."
—Thomas Ho, Co-Author, The Oxford Guide to Financial Modeling, and President, Thomas Ho Company

"Not only does the book provide an excellent explanation of interest rate risk models, but the included software is very comprehensive and easy to use. Excel is used as the user interface throughout. It is very easy to change the inputs and recalculate a wide variety of interest rate risk models. With simple menu choices, the student or practitioner can explore many different hedging or speculation strategies. The consistent approach used in the whole trilogy of fixed income books/software is a huge advantage."
—Craig Holden, Author, Excel Modeling in Investments, and Associate Professor of Finance, Indiana University , Bloomington

"A pedagogical and comprehensive treatment of interest rate dynamics. Extremely helpful to understand the theory and build applications."
—Nassim Nicholas Taleb, Author, Dynamic Hedging: Managing Vanilla and Exotic Options, and Fooled by Randomness

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Sanjay K. Nawalkha, Gloria M. Soto, Nat
Editorial: Wiley (2005)
ISBN 10: 0471427241 ISBN 13: 9780471427247
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Descripción Wiley, 2005. Hardcover. Estado de conservación: New. Never used!. Nº de ref. de la librería P110471427241

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Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
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Descripción John Wiley Sons Inc, United States, 2005. CD-ROM. Estado de conservación: New. New.. Language: English . Brand New. The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena. Nº de ref. de la librería BZV9780471427247

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Sanjay K. Nawalkha, Gloria M. Soto, Nat
Editorial: Wiley (2005)
ISBN 10: 0471427241 ISBN 13: 9780471427247
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Descripción Wiley, 2005. Hardcover. Estado de conservación: New. Brand New!. Nº de ref. de la librería VIB0471427241

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Descripción John Wiley Sons Inc, United States, 2005. CD-ROM. Estado de conservación: New. New.. Language: English . Brand New. The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena. Nº de ref. de la librería BZV9780471427247

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Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto Pacheco, Gloria M.
Editorial: John Wiley & Sons Limited, Hoboken (2005)
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Descripción John Wiley & Sons Limited, Hoboken, 2005. Tapa dura. Estado de conservación: New. Nº de ref. de la librería 100745255

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ISBN 10: 0471427241 ISBN 13: 9780471427247
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Descripción John Wiley & Sons Inc, 2005. Hardcover. Estado de conservación: Brand New. hardback/cd-rom edition. 396 pages. 9.50x6.75x1.00 inches. In Stock. Nº de ref. de la librería zk0471427241

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