Perspectives on Interest Rate Risk Management for Money Managers & Traders

Contributing Authors.
<br />
<br /> 1. Interest Rate Models (O. Cheyette).
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<br /> 2. Fixed Income Risk (R. Kahn).
<br />
<br /> 3. A Primer on Value at Risk (M. Minnich).
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<br /> 4. Portfolio Risk Management (H. Fong and O. Vasicek).
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<br /> 5. Advanced Risk Measures for Fixed–Income Securities (T. Geske and G. Klinkhammer).
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<br /> 6. Dissecting Yield Curve Risk (W. Phoa).
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<br /> 7. Measuring and Managing Interest–Rate Risk (S. Richard and B. Gord).
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<br /> 8. Value Measures for Managing Interest–Rate Risk (M. Kreisler and R. Worley).
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<br /> 9. Improved Measurement of Duration Contributions of Foreign Bonds in Domestic Portfolios (R. Willner).
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<br /> 10. The Basics of Cash–Market Hedging (S. Ramamurthy).
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<br /> 11. Hedging Fixed–Income Securities with Interest–Rate Swaps (S. Ramamurthy).
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<br /> 12. Hedging Mortgage Passthrough Securities (K. Dunn and R. Sella).
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<br /> 13. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).
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<br /> 14. Yield Curve Risk Management (R. Reitano).
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<br /> 15. Non–Hedgable Risk: Model Risk (J. Liu and B. Lu).
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<br /> 16. Measuring and Forecasting Yield Volatility (F. Fabozzi and W. Lee).
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<br /> Index.