Duration, Convexity, and Other Bond Risk Measures

1. Auflage 1999
ISBN: 978-1-883249-63-2
Verlag: Wiley

Buch, Englisch, 264 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 566 g

Reihe: Frank J. Fabozzi Series

Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you're a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you'll need.

Autoren/Hrsg.

Fabozzi, Frank J

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

1. Overview.

2. The Reasons Why a Bond's Price Changes.

3. Price Volatility Characteristics of Bonds.

4. The Basics of Duration and Convexity.

5. Duration Measures of Bonds with Embedded Options and Foreign Bonds.

6. Duration and Convexity for Mortgage-Backed Securities.

7. Yield Curve Risk Measures.

8. Risk Measures for Interest Rate Derivatives.

9. Other Risk Measures.

10. Measuring Yield Volatility.

Index.

Über Autor(innen)

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.