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| Author: | Perignon, C. Villa, C. |
| Title: | Component proponents II |
| Journal: | Risk
2004 : JUL, VOL. 17:7, p. 77-79 |
| Index terms: | asset management financial models interest rates risk risk management |
| Language: | eng |
| Abstract: | This article proposes a new way of extracting the risk factors driving interest rates that allows both the covariance matrix of interest rates and the variances of the risk factors to vary through time. The authors present a multi-shift duration measure that is based on the extracted risk factors in order to illustrate the technique. |
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