April 2011
Beginner
704 pages
21h 44m
English
book
The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Second Edition
by Frank J. Fabozzi, Harry M. Markowitz
Content preview from The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Second Edition
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CHAPTER 22
Interest Rate Derivatives and Risk Control
Frank J. Fabozzi, Ph.D., CFA, CPA Professor in the Practice of Finance Yale School of Management
In Chapters 14 and 15, equity derivatives and their application to equity portfolio management were discussed. There are two general types of fixed income derivatives: interest rate derivatives and credit derivatives. Interest rate derivatives play an important role in managing the interest rate risk of a portfolio or institution and they are the subject of this chapter. In Chapter 23, credit derivatives that can be used to control a portfolio’s credit risk exposure are covered.
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