Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
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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, 2020
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...
A 14 Factor Heath, Jarrow and Morton Model for the German Bund Yield Curve, January 1996 to March 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the German Bund yield curve from...
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...