Interest rate volatility has increased dramatically over the past twenty-five years. The swings in the values of fixed income investments are now comparable to those in equity investments. Long maturity fixed income funds are no longer considered “safe” investments for investors with relatively short horizons. Financial institutions such as commercial banks, savings and loan associations, pension funds, and insurance companies are all aware of the potential negative effects of duration mismatches in their asset-liability structure... read more

Part I. Single and Multiple Factor Interest Rate Risk Models

1.1. First Order Duration Risk Measures

1.2. Second Order Duration Risk Measures

1.3. Higher Order Duration Risk Measures and Other Multifactor Interest Rate Risk Models

Part II. Interest Rate Risk Models for Fixed Income Derivative Securities

2.1 Interest Rate Risk Models for General Interest Rate Contingent Claims

2.2 Interest Rate Risk Models for Mortgage-Backed Securities

2.3 Interest Rate Risk Models for Default-Prone Corporate Bonds

2.4 Interest Rate Risk Models for Floating Rate Securities with Embedded Options

Part III. Interest Rate Risk Models for Financial Institutions and Regulators

3.1 Interest Rate Risk Models for Depository Institutions and the FDIC

3.2 Interest Rate Risk Models for Insurance Companies and Pension Funds... read more

"This volume is a treasure chest of the best thinking from a wide spectrum of authors, all of whom have been deeply involved in finding ways to deal with various faces of interest rate risk."

Martin L. Leibowitz, Vice Chairman and Chief Investment Officer, TIAA-CREF.

"This valuable book collects many of the classic articles on interest rate risk from the past two decades: a period characterized by unprecedented volatility and groundbreaking research into its manifestations."

Ronald N. Kahn , Managing Director, Barclays Global Investors.

"This is a terrific book! It is an in-depth, up-to-date, and comprehensive collection of work in the area of interest rate risk management."

Frank Fabozzi, Adjunct Professor, Yale University, Editor, The Journal of Portfolio Management.

"This is an excellent addition to the risk management bookshelf. The lucid and insightful contributions by highly respected experts are a must read."

Anthony G. Cornyn, Director of Risk Management for Federal Banking Agency.

"Interest Rate Risk Measurement and Management provides a comprehensive coverage of interest rate risk analytics and their applications. This handbook is valuable to all fixed-income professionals."

Thomas S. Y. Ho, Executive Vice President, BARRA.

"This book is an excellent collection of articles on bond markets and is ideal for continuing education of fixed income professionals."

Douglas Breeden, Chairman, Smith Breeden Associates, Editor, The Journal of Fixed Income.