Today the Depository Trust and Clearing Corporation made available statistics on daily trading volume in credit default swaps...
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Friday Forecast: 10 Year Monthly Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the May 27, 2010 constant maturity Treasury yields reported by the Board...
Kamakura Blog: Mr. Smith Goes to Wall Street and Buys a Rolex
In the classic 1939 film “Mr. Smith Goes to Washington,” the legendary Jimmy Stewart plays a naïve Westerner who was appointed...
Friday Forecast: 10 Year Monthly Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the May 19, 2010 constant maturity Treasury yields reported by the Board...
Kamakura Blog: The Cost of False Positives in Default Modeling
In Monday’s blog we talked about the natural bankers’ tendency to judge credit risk tools by how they do on firms, sovereigns or...
Moral Hazards and False Positives in Default Modeling
One of the more curious human traits that affects credit modeling is the tendency of the user of a default model to look only at...
Friday Forecast: 10 Year Monthly Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the May 12, 2010 constant maturity Treasury yields reported by the Board...
Corporate Credit Default Swaps and Non-Dealer Trading Volume
On Tuesday, we looked at the volume of trading in sovereign credit default swaps by dealers and non-dealers as reported by the...
Kamakura Blog: Sovereign Credit Default Swaps and Lessons from Used Car Dealers
When people buy a used car in the United States, they often consult prices paid by thousands of others for the same model car...
Friday Forecast: 10 Year Monthly Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the May 5, 2010 constant maturity Treasury yields reported by the Board of...
Kamakura Blog: At Least 20 Happy Things We’ve Learned from the Credit Crisis
This post is a summary of my comments at the London meeting of the International Association of Credit Portfolio Managers. ...
Friday Forecast: 10 Year Monthly Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the April 28, 2010 constant maturity Treasury yields reported by the Board...