Handbook of Debt Securities & Interest Rate Derivatives

The importance of fixed income portfolios and the need to manage them prudently and optimally has grown rapidly in the recent years. Liberalization of the interest rate regime and consequent volatility of interest rates have added to both the risks and rewards of fixed income portfolios.

Section I - An overview

  • Debt Securities And Markets - An Overview
  • Money Market
  • Bond Market in India
  • The Primary Market in G-Secs
  • The Secondary Market
  • Interest Rate Derivatives
  • Market Practices and Data Sources

Section II - Fixed income mathematics

  • Valuation of Fixed Income Securities : Basic Concepts
  • Term Structure and Yield Curves
  • Bonds with Options
  • Securitization
  • Interest Rate Derivatives: Pricing, Hedging, Valuation

Section III - Portfolio management

  • Measuring The Price Risk: Duration and Convexity
  • Measuring The Price Risk: VaR Approach
  • Debt Securities Portfolios: Management, Classification, Valuation
  • Price and Credit Risk Management: Capital Charge
  • Operational Risk
  • Issues in Accounting

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