A New Empirical Method for Yield Curve Attribution

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We introduce a new methodology for yield curve attribution based on empirical techniques. Our method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities.

Author: Maria de Sousa Vieira, Ph.D.

We introduce a new methodology for yield curve attribution based on empirical techniques.  Our method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities.  Then via minimization processes we find the movements of the yield curve of the beginning date that best explain the return for those securities.

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The Journal of Performance Measurement

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