Interest Rate Risk and Credit Risk Measures

Frank J. Fabozzi and Francesco A. Fabozzi

Chapter 16 in Fundamentals of Institutional Asset Management, 2020, pp 465-489 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The previous chapter was the first of two chapters on bond analytics. In the previous chapter, the pricing of debt instruments and the various yield measures were explained. In this chapter, we describe bond analytics that address interest rate risk analytics and credit risk analytics.

Keywords: Investment Risks; Investment Vehicles; Portfolio Theory; Asset Pricing Theory; Mean-Variance Analysis; Measuring Return; Measuring Risk; Company Equity Analysis; Equity Valuation Models; Common Stock Alpha Strategies; Common Stock Beta Strategies; Smart Beta Strategies; Factor Investing; Equity Indexing; Equity Derivatives; Bond Analytics; Bond Pricing; Interest Rate Risk; Duration; Interest Rate Derivatives; Credit Derivatives; Multi-Asset Portfolio Strategies; Collective Investment Vehicles; Alternative Assets (search for similar items in EconPapers)
JEL-codes: G1 G11 G3 G30 (search for similar items in EconPapers)
Date: 2020
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