Over the last 18 months, the dramatic fall in oil prices has triggered a dramatic widening of credit spreads and default...
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Bank of America and CCAR 2016 Stress Testing: A Simple Model Validation Example
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
The Regime Change Term Structure Model: A Simple Model Validation Approach
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
An Updated Multi-Factor Heath Jarrow and Morton Model For U.S. Treasuries, 1962-2015
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Singapore Government Securities Yields: A Multi-Factor Heath Jarrow and Morton Model
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Modeling 3 Meanings of Correlated Default: A Worked Example
In January 2005, Prof. Robert Jarrow and I published a paper in RISK Magazine entitled “ Estimating Default Correlations Using a...
Spanish Government Bond Yields: A Multi-Factor Heath Jarrow and Morton Model
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the Swedish Government Bond Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the Australia Commonwealth Government Securities Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the German Bund Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the United Kingdom Government Bond Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Interest Rate Risk: Lessons from 2 Decades of Low Interest Rates in Japan
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...