New Research Paper from Kamakura Proves 1-factor Interest Rate Risk Models Underestimate Risk by 61% to 83%. Both 1-factor and...
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
Kamakura Releases New Multi-Factor Interest Rate Models for 13 Countries and World Government Bond Yields
Kamakura Releases New Multi-Factor Interest Rate Models for 13 Countries and World Government Bond Yields 1, 2, 3, 6 and “All”...
Kamakura Corporation Releases Version 6 of Its Implied Ratings Model to Clients Worldwide
Kamakura Corporation Releases Version 6 of Its Implied Ratings Model to Clients Worldwide NEW YORK, March 15, 2021: Kamakura...
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2020
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...