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Fixed income mathematics : analytical & statistical techniques
McGraw-Hill - 1 vol. (XIX-649 p)
Index p.629-649
Overview of fixed income securities and derivatives (new). Future value. Present value. Yield (internal rate of return). The price of a bond. Conventional yield and spread measures for bonds. The yield curve, spot rate curve, and forward rates. Potential sources of dollar return. Total return. Measuring historical performance. Price volatility of option-free bonds. Duration as a measure of price volatility. Combining duration and convexity to measure price volatility. Duration and the yield ... curve. Interest rate modeling (new). Investment and price characteristics of options. Valuation and price volatility of bonds with embedded options. Credit risk concepts and measures for corporate bonds (new). Measures used for securitized products. Cash flow characteristics of amortizing loans. Cash flow characteristics of mortgage-backed securities. Prepayment modeling (new). Basics of MBS structuring (new). Analysis of agency mortgage-backed securities. Basics of probability theory and statistics. Regresssion analysis. Statistical techniques for credit scoring and risk factor identification (new). Tracking error and multi-factor risk models (new). Monte Carlo simulation. Optimization. Lire la suite