Today’s forecast for U.S. Treasury yields is based on the November 15, 2012 constant maturity Treasury yields that were reported...
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How Stale are Legacy Credit Ratings?
On June 13, 2012, the Office of the Comptroller of the Currency published the final rules defining whether a security is...
Kamakura Mortgage Valuation Yield Curve, Mortgage Servicing Rights Valuation, and U.S. Treasury Forecast
Today’s forecast for U.S. Treasury yields is based on the November 8, 2012 constant maturity Treasury yields that were reported...
Banking Risk Assessment for Corporate Treasurers when FDIC Blanket Deposit Insurance Ends
On December 31, 2012, the FDIC blanket deposit insurance on all non-interest bearing deposits will end. This blog explains why...
Kamakura Mortgage Valuation Yield Curve, Mortgage Servicing Rights Valuation, and U.S. Treasury Forecast
Today’s forecast for U.S. Treasury yields is based on the November 1, 2012 constant maturity Treasury yields that were reported...
Kamakura Mortgage Valuation Yield Curve, Mortgage Servicing Rights Valuation, and U.S. Treasury Forecast
Today’s forecast for U.S. Treasury yields is based on the October 25, 2012 constant maturity Treasury yields that were reported...
A Preview of Advanced Financial Risk Management, Second Edition
The first edition of Advanced Financial Risk Management was published eight years ago. My Kamakura colleagues and co-authors...
October 19, 2012 Kamakura Mortgage Valuation Yield Curve, Mortgage Servicing Rights Valuation, and U.S. Treasury Forecast
Today’s forecast for U.S. Treasury yields is based on the October 18, 2012 constant maturity Treasury yields that were reported...
October 12, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the October 11, 2012 constant maturity Treasury yields that were reported...
Non-Bank Corporate Credit Default Swap Trading Volume for the 103 Weeks Ended June 29, 2012
This blog is the last in a series analyzing the trading volume in single name credit default swaps for the 103 weeks ended June...
International Bank Credit Default Swap Trading Volume for the 103 Weeks Ended June 29, 2012
On January 18, 2012 we reviewed trading volume in credit default swaps for non-U.S. banking firms for the 77 weeks ended...
October 5, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the October 4, 2012 constant maturity Treasury yields that were reported...