By Donald van Deventer on
9/8/2009 2:27 PM
Thanks to the very active feedback on Parts 1 to 4 of our series on Nelson-Siegel yield curve smoothing versus spline technologies, we took another tour through the most recent literature on the subject. We’ve found a gem of a summary by Jeffrey R. Greco of the University of Chicago that we reproduce in full with Jeff’s permission in this post. We have also found a large number of articles on why technique x for yield curve smoothing is better than technique y, with no mathematical proof of why one is better than the other. We show how to do that in this post.
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By Donald van Deventer on
9/3/2009 7:29 AM
Rating agencies have long argued that they have no legal obligation to produce accurate ratings. The basis for this argument is that ratings are “free speech” and the rating agencies have the right to say anything they want, even if what they say is wrong. This defense, to the consternation of generations of investors, has been bullet proof until this week. In this post we reproduce in full a Reuters story on how a courageous judge shot down the free speech defense.
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By Donald van Deventer on
9/2/2009 2:35 PM
Шон Кляйн (Sean Klein) и Дональд Р. ван Девентер (Donald R. van Deventer), 21 июля 2009 г.
Предложенная в 1987 г. Чарльзом Нельсоном и Эндрю Зигелем формулировка кривой доходности остаётся весьма популярной среди участников финансовых рынков и центробанковских экономистов. Используя неформальный стиль, эта статья объясняет типы ошибок, являющиеся результатом использования формулировки Нельсона-Зигеля, а также обсуждает методики, обеспечивающие более совершенные результаты.
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By Donald van Deventer on
9/2/2009 12:20 PM
Risk management in different areas of financial services is very cultural. The conventional wisdom for risk management differs widely in endowment management, pension fund management, equity portfolio management, and banking. This post explains how “common practice” in pension fund risk management is benefitting from synergies with risk management practice in other wings of the financial services industry.
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By Donald van Deventer on
9/1/2009 7:48 AM
Nostalgia fans were not the only ones to comment on our August 28, 2009 blog about one of the world’s largest banks summarizing its interest rate risk as the dollar change in one year’s net income. A bank regulator and an alumnus of JPMorgan responded with their own thoughts in reaction to the use of “Saturday Night Fever disco era risk technology” like the savings and loan industry standard of 1977. This blog relays their comments.
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