By Donald van Deventer on 7/21/2009 2:30 PM

The 1987 yield curve formulation proposed by Charles R. Nelson and Andrew F. Siegel remains very popular among financial market participants and central bank economists. This post explains, in a nontechnical way, the kinds of errors that result from use of the Nelson-Siegel formulation and what techniques provide a superior result.

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By Donald van Deventer on 7/21/2009 8:48 AM

The following Reuters story describes a proposed bill that would dramatically restructure the rating agency business in a manner similar to the changes of a few years ago in the accounting profession. We reproduce the story in this blog.

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By Donald van Deventer on 7/20/2009 1:20 PM

One of the lessons of the credit crisis that started in 2007 is that even the largest public companies in the United States could not answer key questions about risk management like those posed in our blog of April 27, 2009.  In our post mortems on Countrywide Financial, Washington Mutual, and New Century Financial, we found that in many cases management ignored working level staff who were trying to alert management and the Board to the risks being taken.  This blog is devoted to how modern credit risk techniques can be used to send a wake-up call to senior management and directors who have not been paying attention to the risk of the firm. &l

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By Donald van Deventer on 7/16/2009 3:19 PM

By Donald van Deventer on 7/14/2009 9:36 PM