The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
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Sovereign Credit Default Swaps and the European Commission Short Sale Ban, July 10, 2010 through June 26, 2015
Trading volume in the bond and credit default swap markets, particularly the sovereign credit default swap market, is one of the...
Municipal Credit Default Swap Trading Volume, 2010 to June 26, 2015
The near-bankruptcy of Puerto Rico and the actual bankruptcy of Detroit brings even more pressure on municipal bond investors...
The 3 Month T-Bill Rate: Average of 100,000 Scenarios Down 0.06% to 3.40% in 2025
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
J. C. Penney Again Tops Non-Bank Corporate Credit Default Swap Trading Volume, 2010 to 2015
In this note, we focus on credit default swap trading volume in 1,056 non-bank corporate reference names for the 259 weeks from...
Banco Santander, S.A. Leads International Bank Credit Default Swap Trading Volume, 2010 to 2015
We previously analyzed the trading volume of credit default swaps on international bank reference names for the 233 weeks ending...
MBIA and Bank of America Again Lead U.S. Bank Credit Default Swap Trading Volume, 2010-2015
A number of authors have suggested that credit default swap pricing be used as a basis for setting deposit insurance premiums...
CDS Trading Volume for 1,256 Reference Names From 2010 to June 26, 2015
In this report, we update the semi-annual Kamakura Corporation analysis of trading volume in single name credit default swaps as...
The 3 Month T-Bill Rate: Average of 100,000 Scenarios Up 0.23% to 3.46% in 2025
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
Measurement of Model Error and Model Validation for Interest Rate Risk in the Banking Book
Regulatory risk regulations launched in the wake of the credit crisis emphasize the impact of a wide range of macro-economic...
The 3 Month T-Bill Rate: Average of 100,000 Scenarios Up Slightly to 3.23% in 2025
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
Constructing a Mortgage Valuation Yield Curve
In this chapter, we follow Jarrow and van Deventer (2013) to show how to construct a mortgage valuation yield curve that...