ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the German Bund yield curve from...
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A 14 Factor Heath, Jarrow and Morton Model for the United Kingdom Government Securities Yield Curve, January 1979 to January 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the United Kingdom Government...
A 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve, January 1962 to March 2017: Bayesian Model Validation Given Negative Rates in Japan
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
An 8 Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2016: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
Maximizing Risk-Adjusted Fixed Income Returns: An Interview with a Retail Investor who Outperformed AGG by 9.57%
Mr. X, How would you describe your fixed income investment strategy? “I see my overall strategy as a go anywhere, any maturity...
An 11 Factor Heath, Jarrow and Morton Model for the Thai Government Bond Yield Curve: Implications for Model Validation
An 11 Factor Heath, Jarrow and Morton Model for the Thai Government Bond Yield Curve: Implications for Model Validation Donald...
Credit Spreads and Default Probabilities: A Simple Big Data Model Validation Example
In an article in August of 2014, we focused on one of the most persistently used formulas in fixed income markets: Credit Spread...
An Updated 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty-one years of...
Royal Bank of Scotland: Bank Rescues, Credit Spreads, and Default Probabilities
A recent conversation with Prof. Edward Kane of Boston College and today's news that Royal Bank of Scotland PLC had the most...
Yingli Green Energy Holding Company Limited
A Case Study of Yingli Solar Using KRIS Default Probabilities May 19, 2016 The objective of this write-up is to showcase how the...
CCAR Stress Tests for 2016: A Wells Fargo & Co. Example of Effective Challenge for Default Probability Stress Testing
In our two previous notes on this topic, we analyzed stress testing methodologies for default probabilities in “Bank of America...
Fair Value and Expected Credit Loss Estimation: An Accuracy Comparison of Bond Price versus Spread Analysis Using Lehman Data
Donald R. van Deventer and Suresh Sankaran April 25, 2016 The International Financial Reporting Standard (“IFRS”) 9 and the...