The Practitioner's Guide to Interest Rate Risk Management

The Practitioner's Guide to Interest Rate Risk Management

by Bernard Manson (Author), B . Manson (Author)


This handbook explains how to understand, identify, measure, report and account for interest rate risk, and how to use the main market instruments to manage the risk identified. Instruments analyzed include forward rate agreements, interest rate futures, single and cross currency interest rate swaps, government bonds, interest rate options including caps, floors, and swaptions, foreign exchange swaps, and medium-term forward foreign exchange. The book also addresses the additional issues faced by banks in interest rate risk management due to the regulatory environment and because of their need to allocate cost and revenues to different responsibility centres. The scope of the book is international. Detailed formulae are included for pricing and risk management of interest rate options. Extensive worked examples are provided. Also available separately is a disk containing spreadsheets which perform many of the more complex calculations described in the text of the handbook. The disk is accompanied by an explanatory booklet.



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More Information

Format: Hardcover
Pages: 488
Edition: 1992 ed.
Publisher: Graham & Trotman
Published: 30 Sep 1992

ISBN 10: 1853337412
ISBN 13: 9781853337413

Media Reviews
To conclude, this is a thorough and workmanlike book designed for the international capital market practitioner. I am sure the book, together with the accompanying software for spreadsheets and other documentation, will provide an excellent study text and reference work for the market practitioner. ' Journal of International Banking Law, 9:7 (1994)