Abstract
The article provides a new and practical approach to measuring the risk of changes in the slope, and curvature of the term structure, as well as its level. This is related to the principal components commonly found in term structure movements, but obviates the need to estimate them. The technique may be applied to construct hedges and to reconcile how value changes have stemmed from term structure movements. The article establishes how the new measures are related to the existing measures of duration and convexity, and to the (generalized) moments of the (present value weighted) distribution of cash flow dates. <b>TOPICS:</b>Risk management, portfolio management/multi-asset allocation
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