Measuring yield curve risk using principal components analysis, value at risk, and key rate durations: Directing light into the black box

Journal of Portfolio Management

Volumn 23, Issue 4, 1997, Pages 72-84

  Golub, Bennett W ^a   Tilman, Leo M ^a  

^a BlackRock Financial Management Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031164806     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1997.409612     Document Type: Article

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