利率风险模式 INTEREST RATE RISK MODELING

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.

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.

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
About the CD-ROM
Index