Measuring Yield Curve Risk Using Principal Components, Analysis, Value, At Risk, And Key Rate Durations

Bennett W. Golub; Leo M. Tilman

doi:10.3905/jpm.1997.409612

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Measuring Yield Curve Risk Using Principal Components, Analysis, Value, At Risk, And Key Rate Durations

Bennett W. Golub and Leo M. Tilman

The Journal of Portfolio Management Summer 1997, 23 (4) 72-84; DOI: https://doi.org/10.3905/jpm.1997.409612

Bennett W. Golub

Managing director of the Risk Management and Analytics Group at BlackRock Financial Management, Inc. in New York (NY 10154).

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Leo M. Tilman

An associate in the Risk Management and Analytics Group at BlackRock Financial Management, Inc. in New York (NY 10154).

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vol. 23 no. 4 72-84

DOI

https://doi.org/10.3905/jpm.1997.409612

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Pageant Media Ltd

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0095-4918

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2168-8656

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Measuring Yield Curve Risk Using Principal Components, Analysis, Value, At Risk, And Key Rate Durations

Bennett W. Golub, Leo M. Tilman

The Journal of Portfolio Management Jul 1997, 23 (4) 72-84; DOI: 10.3905/jpm.1997.409612

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Measuring Yield Curve Risk Using Principal Components, Analysis, Value, At Risk, And Key Rate Durations

Bennett W. Golub, Leo M. Tilman

The Journal of Portfolio Management Jul 1997, 23 (4) 72-84; DOI: 10.3905/jpm.1997.409612

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