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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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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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