Interest Rate Risk Modeling: The Fixed Income Valuation Course

Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk into one reference volume. Considering only the most insightful, practical, innovative, and readable materials, this book explores the development and testing of single and multiple factor interest rate risk measures, continuous and discrete time term structure models, risk measurement tools and modern term structure theories, and credit risk analysis.