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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

By:

Tracey, Mark

Material type: Text

TextPublication details: [Caribbean Centre for Money and Finance] [St. Augustine]TT 2009Description: 29 pAction note:

12/7/09 JOYD

Summary: 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.

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Holdings
Item type	Current library	Call number	Status	Barcode
Monograph	CARICOM Documentation Centre	11.02.01 M742tr(2009) (Browse shelf(Opens below))	Available	0000000028508

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.

12/7/09 JOYD

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