The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
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The 3 Month T-Bill Rate: 2025 Forecast Drops 0.02% to 3.02% This Week
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
What about correlated explanatory variables in a default model?
One of the most frequently asked questions when people review predictive models of default is this: “Aren’t those explanatory...
The Fed’s CCAR 2015 Stress Test Results: A Simple Model Validation Example Using Credit Spreads
The Federal Reserve released the results of the Comprehensive Capital Analysis and Review stress tests on the afternoon of...
Bond Market Stress Test: 25 Financial Institutions Have Lower Credit Spreads than the Best “Too Big to Fail” Bank
The Federal Reserve will announce the results of the “DFAST” stress tests on March 5. On March 13, 2014, we pointed out the many...
Low Rate and Negative Rate Model Validation for Interest Rate Risk and Asset and Liability Management
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Essential Model Validation for Interest Rate Risk and Asset and Liability Management
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Municipal Credit Default Swap Trading Volume, 2010 to 2014
The bankruptcy of Detroit brings new pressure on municipal bond investors and related exchange-traded funds like (HYD) (NUV)...
MBIA and Bank of America Lead U.S. Bank Credit Default Swap Trading Volume, 2010-2014
A number of authors have suggested that credit default swap pricing be used as a basis for setting deposit insurance premiums...
Banco Santander, S.A. Tops International Bank Credit Default Swap Trading Volume, 2010 to 2014
We previously analyzed the trading volume of credit default swaps on international bank reference names on July 14, 2014 for the...
J. C. Penney Leads Non-Bank Corporate Credit Default Swap Trading Volume, 2010 to 2014
This analysis is the third in a series analyzing the trading volume in single name credit default swaps for the 233 weeks ended...
Sovereign Credit Default Swaps and the European Commission Short Sale Ban, 2010-2014
Trading volume in the bond and credit default swap markets, particularly the sovereign credit default swap market, is one of the...