Primary Article
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).
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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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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