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Interest Rate Risk Modeling
By Sanjay K. Nawalkha, Gloria
M. Soto, Natalia K. Beliaeva
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Written by fixed income specialists, Interest Rate Risk Modeling details the various modeling techniques used by today's fixed income professionals. Whether measuring nonparallel durations of a naked call option, adjusting notional amounts in swaps and caps using the LIBOR market model or computing durations of default-prone bonds using cutting-edge first-passage probability models, this book will help you 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. This book 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, swaptions, mortgage-backed securities and default-prone
coupon bonds.
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