CHAPTER 22
Interest Rate Derivatives and Risk Control
Frank J. Fabozzi, Ph.D., CFA, CPA Professor in the Practice of Finance Yale School of Management
 
 
 
 
 
In Chapters 14 and 15, equity derivatives and their application to equity portfolio management were discussed. There are two general types of fixed income derivatives: interest rate derivatives and credit derivatives. Interest rate derivatives play an important role in managing the interest rate risk of a portfolio or institution and they are the subject of this chapter. In Chapter 23, credit derivatives that can be used to control a portfolio’s credit risk exposure are covered.

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