On January 4, we showed that on average 81.68% of trades in credit default swaps in the trade warehouse of the Depository Trust...
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January 6, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the January 5, 2012 constant maturity Treasury yields that were reported...
Collusion and CDS Dealer Volume
We first looked at the trading volume in single name corporate and sovereign credit default swaps in three blog entries in May...
December 30, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the December 29, 2011 constant maturity Treasury yields that were reported...
December 23, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the December 22, 2011 constant maturity Treasury yields that were reported...
December 16, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the December 15, 2011 constant maturity Treasury yields that were reported...
Public Information and Libor Manipulation
On August 25, 2011, Charles Schwab Bank and Charles Schwab Corporation filed suit alleging 12 banks conspired to manipulate the...
December 9, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the December 8, 2011 constant maturity Treasury yields that were reported...
Model Risk in Mortgage Servicing Rights
One of the lessons of the credit crisis of 2007-2010 was that the conventional wisdom can be a dangerous thing. The...
December 2, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the December 1, 2011 constant maturity Treasury yields that were reported...
November 25, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the November 23, 2011 constant maturity Treasury yields that were reported...
Pitfalls in Asset and Liability Management: One Factor Term Structure Models and the Libor-Swap Curve
In our blog of November 7, 2011, we showed that the one–factor term structure models in wide use in the financial services...