Author Description

In this book, its widely acclaimed author analyzes the mechanisms for measuring credit and interest rate risk, the financial instruments used for managing these two risk factors, and the markets in which these instruments trade. The goal of the book is to provide a systematic presentation of credit and interest rate measurement and management techniques being used currently by global financial institutions. The book begins with an introduction to measuring interest rate risk and credit risk; then, proceeds to discuss the pertinent techniques for controlling these risks, i.e. credit and interest rate derivatives. These instruments are not only defined and modeled, but the application of them in practical settings to control risk is also presented.