In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
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A 10 Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through June 30, 2021
Donald R. van Deventer[1] First Version: July 19, 2021 This Version: July 19, 2021 ABSTRACT Please note: Kamakura Corporation...
Kamakura Weekly Forecast, July 16, 2021: 3-month Treasury Bill Yield Distribution for 10 Years
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
How Well Do U.S. Treasury Yields Forecast Inflation?
With inflation obviously on the rise, any rational investor should be asking “How well do U.S. Treasury yields forecast...
New on SeekingAlpha: U.S. Treasury Yields, The 10-Year Probabilities
In a new post on www.seekingalpha.com, I take on the issue of yield curve forecasting for a sophisticated general audience. ...
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2020
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...
The Valuation of Corporate Coupon Bonds
Abstract This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes...
A 10-Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2018: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2018
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
A Quantitative Assessment of Errors from The Use of Credit Ratings in Credit Portfolio Management, Part 3: Credit Spreads
DOWNLOAD PDF Abstract This is the third of three attempts to justify the use of 158-year-old credit ratings in the credit...
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy...