By Donald van Deventer on
6/28/2010 10:42 AM
Today’s forecast for U.S. Treasury yields is based on the June 24, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm June 25, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
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By Donald van Deventer on
6/18/2010 1:04 PM
Today’s forecast for U.S. Treasury yields is based on the June 17, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm June 18, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
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By Donald van Deventer on
6/16/2010 7:54 AM
In a recent television interview, a well-known economist and an equally well-known hedge fund manager debated two things: whether the recent hysteria over Greece was just that, temporary hysteria, or whether the Greek problem was problem a long time in the making that was recognized long before. This post talks about how to remove the drama from sovereign risk.
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By Donald van Deventer on
6/11/2010 1:08 PM
Today’s forecast for U.S. Treasury yields is based on the June 10, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm June 11, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
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By Donald van Deventer on
6/7/2010 1:03 PM
For the last few weeks, Kamakura’s weekly “implied forecast” for the U.S. Treasury yield curve and the U.S. dollar libor-swap curve has commented on the abrupt and stair-step nature of shifts in short term interest rates on U.S. Eurodollar deposits as reported by the Board of Governors of the Federal Reserve in its H15 statistical release. This blog examines the often large discrepancies between this rate and the London interbank offered rates officially released by the British Bankers Association and compares them to default probabilities of the Libor panel banks.
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