منابع مشابه
Yield Curve Risk Factors: Domestic And Global Contexts
CONTENTS Introduction: Handling multiple risk factors 1. Methodological introduction 2. Non-parallel risk, duration bucketing and partial durations 3. Limitations of key rate duration analysis I Principal component analysis 1. Definition and examples from US Treasury market 2. Meaningfulness of factors: dependence on dataset 3. Correlation structure and other limitations of the approach II Inte...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3005064