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Principal component Value at Risk : an application to the measurement of the interest rate risk exposure of Jamaican banks to government of Jamaica (GOJ) bonds

Tracey, Mark

Principal component Value at Risk : an application to the measurement of the interest rate risk exposure of Jamaican banks to government of Jamaica (GOJ) bonds - [St. Augustine]TT [Caribbean Centre for Money and Finance] 2009 - 29 p.

Develops an additional Value at Risk (VaR) framework for measuring and monitoring risk, contingent on changes in the interest rate term structure of government of Jamaica.

Universal Decimal Class. No.: 11.02.01 M742tr(2009)

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