Tracey, Mark <br/><br/>
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. 
<br/><br/> 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. 
<br/><br/><label>Universal Decimal Class. No.: </label>11.02.01 M742tr(2009)