Blogs
Donald R. van Deventer, Ph.D.
Don founded Kamakura Corporation in April 1990 and currently serves as Co-Chair, Center for Applied Quantitative Finance, Risk Research and Quantitative Solutions at SAS. Don's focus at SAS is quantitative finance, credit risk, asset and liability management, and portfolio management for the most sophisticated financial services firms in the world.
Martin Zorn currently serves as a Managing Director, Risk Reseach and Quantitative Solutions for Risk Data and Analytics inititives at SAS. In his role he oversees day-to-day operations serving risk management clients.
Stas Melnikov
Stas Melnikov is Head of Risk Portfolio leading teams responsible for integrated balance sheet management solutions, risk data and analytics services and center for applied quantitative finance at SAS Institute. Stas’ work has been featured in numerous industry and investor presentations, including quantitative analyses used to express pre-Global Financial Crisis warnings about the mortgage and real estate markets.
SAS Weekly Bund Yield Forecast, September 22, 2023: 25.9% Chance Inverted Yields are Gone by March
Summary The probability of a quick end to inverted Bund yields bounced back up this week as the current negative 2-year/10-year...
SAS Weekly Forecast, September 22, 2023: 1-Month Forward Treasuries Peak at 5.58% in 2039
Summary The long-term peak in 1-month forward Treasuries is now 5.58%, just above the near-term peak at 5.54%. The simulated...
SAS Weekly Bund Yield Forecast, September 15, 2023: Delayed Gratification
Summary The probability of a quick end to inverted Bund yields dropped substantially this week as the current negative...
SAS Weekly Forecast, September 15, 2023: 1-Month Forward Treasuries Range from 4% to 6% for 20 Years
Summary The level of 1-month forward rates implied by the current Treasury yield curve ranges from 4% to 6% for 20 years. The...
SAS Weekly Euro Zone Forecast, September 8, 2023: Short-term and Long-term Forward Rate Peaks 2 Basis Points Apart
Summary 28-day Bund forward rate peaks in the short-term (3.63%) and long-term (3.61%) moved closer together this week. This...
SAS Weekly Forecast, September 8, 2023: Long-term U.S.Treasury Forward Rate Peak Near Short-term Peak
Summary The long-term peak in forward rates, at 5.48%, remains close to the short-term peak of 5.53%. The streak of negative...
SAS Weekly Euro Zone Forecast, September 1, 2023: Short-term and Long-term Forward Rate Peaks Converging
Summary 28-day Bund forward rate peaks in the short-term (3.67%) and long-term (3.59%) moved closer together this week. This...
SAS Weekly Forecast, September 1, 2023: Long-term U.S.Treasury Forward Rate Peak Exceeds Near-term Peak
This week’s twist in the U.S. Treasury 1-month forward rate curve reveals an important stepping stone toward normal yields. The...
Unmasking Potential Credit Risks:
Are You Prepared if Defaults Accelerate? NEW YORK, September 5, 2023: Markets backed off in August, with the S&P 500 down...
SAS Weekly Euro Zone Forecast, August 25, 2023: End of Inverted Bund Yields Delayed
Summary The Bund 2-year/10-year spread widened to a negative 47.8 basis points from negative 42.2 basis points last week As a...
SAS Weekly Forecast, August 25, 2023: A Longer Wait for Positive Treasury Spreads
The streak of negative 2-year/10-year Treasury spreads has now reached 287 trading days, 9 trading days longer than the third...
SAS Weekly Euro Zone Forecast, August 18, 2023: Peak in Bund 1-Month Forward Rates Drops to 3.52%
Author’s Note This simulation has been done jointly with a U.S. Treasury yield simulation in a way that reflects the correlation...