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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.

List of Figures

List of Tables

Chapter 1: Interest Rate Risk Modeling: An Overview

　Duration and Convexity Models

　M-Absolute and M-Square Models

　Duration Vector Models

　Key Rate Duration Models

　Principal Component Duration Models

　Applications to Financial Institutions

　Interaction with Other Risks

　Notes

Chapter 2: Bond Price, Duration, and Convexity

　Bond Price under Continuous Compounding

　Duration

　Convexity

　Common Fallacies Concerning Duration and Convexity

　Formulas for Duration and Convexity

　Appendix 2.1: Other Fallacies Concerning Duration and Convexit

　Notes

Chapter 3: Estimation of the Term Structure of Interest Rates

　Bond Prices, Spot Rates, and Forward Rates

　Term Structure Estimation: The Basic Methods

　Advance Methods in Term Structure Estimation

　Notes

Chapter 4: M-Absolute and M-Square Risk Measures

　Measuring Term Structure Shifts

　M-Absolute versus Duration

　M-Square versus Convexity

　Closed-Form Solutions for M-Square and M-Absolute

　Appendix 4.1: Derivation of the M-Absolute and M-Square Models

　Appendix 4.2: Two-Term Taylor-Series-Expansion Approach to the M-Square Model

　Notes

Chapter 5: Duration Vector Models

　The Duration Vector Model

　Generalized Duration Vector Models

　Appendix 5.1: Derivation of the Generalized Duration Vector Models

　Notes

Chapter 6: Hedging with Interest-Rate Futures

　Eurodollar Futures

　Treasury Bill Futures

　Treasury Bond Futures

　Treasury Note Futures

　Appendix 6.1: The Duration Vector of the Eurodollar Futures

　Appendix 6.2: The Duration Vector of the T-Bond Futures

　Notes

Chapter 7: Hedging with Bond Options: A General Gaussian Framework

　A General Gaussian Framework for Pricing Zero-Coupon Bond Options

　The Duration Vectors of Bond Options

　The Duration Vector of Callable Bonds

　Estimation of Duration Vectors Using Non-Gaussian Term Structure Models

　The Durations of European Options on Coupon Bonds and Callable Coupon Bonds

Chapter 8: Hedging with Swaps and Interest Rate Options Using the LIBOR Market Model

　A Simple Introduction to Interest Rate Swaps

　Motivations for Interest Rate Swaps

　Pricing and Hedging with Interest Rate Swaps

　Forward Rate Agreements

　Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market Model

　Interest Rate Swaptions

　Numerical Analysis

　Notes

Chapter 9: Key Rate Durations with VaR Analysis

　Key Rate Changes

　Key Rate Durations and Convexities

　Risk Measurement and Management

　Key Rate Durations and Value at Risk Analysis

　Limitations of the Key Rate Model

　Appendix 9.1: Computing Key Rate Risk Measures for Complex Securities and under Maturity Mismatches

　Notes

Chapter 10: Principal Component Model with VaR Analysis

　From Term Structure Movements to Principal Components

　Principal Component Durations and Convexities

　Risk Measurement and Management with the Principal Component Model

　VaR Analysis Using the Principal Component Model

　Limitations of the Principal Component Model

　Applications to Mortgage Securities

　Appendix 10.1: Eigenvectors, Eigenvalues, and Principal Components

　Appendix 10.2: Computing Principal Component Risk Measures for Complex Securities and under 　Maturity Mismatches

　Notes

Chapter 11: Duration Models for Default-Prone Securities

　Pricing and Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model

　The Asset Duration

　Pricing and Duration of a Default-Prone Zero-Coupon Bond: The Merton Framework

　Pricing and Duration of a Default-Prone Coupon Bond: The First Passage Models

　Appendix 11.1: Collin-Dufresne and Goldstein Model

　Notes

References

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作者简介：

　　Sanjay K. Nawalkha, PhD, is Associate Professor of Finance at the University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, especially in the areas of fixed income and asset pricing. He is the coeditor of the book Interest Rate Risk Measurement and Management, published by Institutional Investor. Dr. Nawalkha is also the President and founder of Nawalkha and Associates.

书籍介绍

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.