middle office risk pnl

[dubula11]

Hi guys I.ve landed a role in the middle office of an ib and just started in rates and the role is risk and p&l, basically ill be on the flow books in swaps. Could ne1 recommend any books or anything to prop up reading. Basic role is deriving p&l of a book through downloading pv's deriving yield curves by bootstrapping. Pricing swaps and valuing swaps and deliviering daily p&l changes to traders and also providing them with risk parameters etc. Not really sure about the role and not very good on the tecnical theory side either. Pricing will be done using excel and models integrated withexcel off the companies sytem. I want to get ahead, just wondering what you guys recommend.

id like to say thanks too i asked questions about my interview here, before i had it, it really helped, thanks.

 

[Martinghoul]

I'd recommend the following:
Hull "Options, Futures, and Other Derivatives"
Tuckman "Fixed Income Securities"
Flavell "Swaps and Other Derivatives"
"Understanding the Yield Curve" series of papers by Antti Ilmanen

 

[dubula11]

thanks for the response will any of these books include examples on how to measure risk and how to attribute changes in the p&l to changes in delta vega etc. risk sensitivities i.e what happens to a fixed leg when the i/r changes by 1 basis point what happens to pv's dv01??

 

[Martinghoul]

Yes...

 

[dubula11]

thanks for that!!