This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
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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, 2021
Donald R. van Deventer First Version: January 24, 2022 This Version: January 25, 2022 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, January 21, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 31, 2021
Donald R. van Deventer January 18, 2022 With inflation obviously on the rise, any rational investor should be asking “How well...
Kamakura Weekly Forecast, January 14, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
Vietnam’s Techcombank Upgrades Risk Management with Kamakura’s Suite of Solutions
SINGAPORE, 11 January 2022: Kamakura Corporation has completed an upgrade project of its suite of solutions for Vietnam-based...
Kamakura Weekly Forecast January 7, 2022: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using Daily Data from January 2, 1979 through November 30, 2021
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using...
The Valuation of Corporate Coupon Bonds∗
Jens Hilscher†, Robert A. Jarrow‡, and Donald R. van Deventer§ January 3, 2022 Abstract This paper shows that, for a sample of...
Planning for Risks in the Year Ahead
Kamakura Troubled Company Index Decreases by 0.90% to 4.40% Credit Quality Remains Strong and rises to the 99th Percentile NEW...
Kamakura Weekly Forecast, December 31, 2021: U.S. Treasury Probabilities 10 Years Forward
This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...