Frank Fabozzi teaches about measuring and controlling interest rate and credit risk.

Credit risk and interest rate are measured. There are keys to controlling interest rate risk in a mortgage-backed securities derivatives portfolio. The book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position.

Credit risk and interest rate are measured. It is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors created a verbal flow chart to show interest rate risk and credit risk in relation to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. Readers will learn how to measure and control the interest rate risk and credit risk in the text. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds, and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging.

Frank J. Fabozzi is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University.

Steven V. Mann is a professor at the Moore School of Business at the University of South Carolina. Moorad Choudhry is a Vice President with JP Morgan Chase in London.

The editor of the Journal of Bond Trading and Management is a senior fellow at the Centre for Mathematical Trading and Finance. He has written a number of books on fixed income analysis. Moorad began his career in the City working as a gilt-edged market maker and as a proprietary trader. He is a vice-president with the bank in London.