The duration of a fixed-income asset (or liability) is a measure of its price sensitivity relative to its own yield. It is well recognized that duration fails to capture the exposure of a portfolio to changes in the shape of the yield curve. This form of interest rate risk, referred to as yield curve risk, can be significant in portfolios containing options, some mortgage derivatives, and most exotic securities. The authors present a risk measure that is more complete than simple measures such as duration that can be used in measuring the yield curve. This “risk-point measure” can be applied to various active and structured portfolio strategies.