Publisher's Synopsis
"Interest Rate Risk Measurement and Management" presents a collection of the key contributions in fixed-income investment research. This complete practitioners' manual showcases every major topic in interest rate risk management with detailed analyses and full treatment of equations and statistical measures. It is a substantial investment resource on: single and multi-factor duration risk measures; interest rate risk models for fixed income derivatives; and interest rate risk models for depositories, thrifts, the FDIC, insurers and pension funds.
