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[Free.Y3xn] Pricing and Hedging Interest and Credit Risk Sensitive Instruments

[Free.Y3xn] Pricing and Hedging Interest and Credit Risk Sensitive Instruments

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Book Details :
Published on: 2004-12-27
Released on:
Original language: English

This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers Insurance and Risk Management Terms IRMI.com You are currently not signed in. Any products you have purchased will not be available until you Sign In. Asset Liability Management: An Overview - Oracle Asset Liability Management: An Overview Page 6 risk. By arranging for another party to assume its interest payments a bank can put in place such a hedge. Managing Interest Rate Risk: GAP and Earnings Sensitivity Title: Managing Interest Rate Risk: GAP and Earnings Sensitivity Last modified by: kcyree Created Date: 10/14/1997 4:14:28 PM Document presentation format Bank Financial Statement Analysis & Ratio Analysis ... Bank Financial Statement Analysis Ratio Analysis and Performance Analysis. Financial Institution Financial Statement Analysis. Assets Current Assets / Liquid Assets Hoadley Finance Add-in for Excel Option pricing and "Greeks": Calculation of option prices and "Greeks" for American and European options. The HoadleyOptions1 function uses absolute dates for ... Risk management in banking - SlideShare Risk management in banking 1. RISK MANAGEMENT IN BANKING 2. RISK MANAGEMENT IN BANKING Joel Bessis Interest rate swap - Wikipedia An interest rate swap (IRS) is a liquid financial derivative instrument in which two parties agree to exchange interest rate cash flows based on a specified notional ... Journal of Credit Risk/Technical paper Credit Risk Modelling IFRS9. This course will provide attendees with a comprehensive understanding of the IFRS 9 standards and address many of the implementation ... Arbitrage - Wikipedia Another risk occurs if the items being bought and sold are not identical and the arbitrage is conducted under the assumption that the prices of the items are ... FRB: Finance and Economics Discussion Series - 2016 Abstract: Risk management is the most widely-cited reason that non-financial corporations use derivatives. If hedging programs are effective then firms ...
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