Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
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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 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...
A 14 Factor Heath, Jarrow and Morton Model for the German Bund Yield Curve, January 1996 to March 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the German Bund yield curve from...
A 14 Factor Heath, Jarrow and Morton Model for the United Kingdom Government Securities Yield Curve, January 1979 to January 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the United Kingdom Government...
A 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve, January 1962 to March 2017: Bayesian Model Validation Given Negative Rates in Japan
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
An 8 Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2016: 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...
Maximizing Risk-Adjusted Fixed Income Returns: An Interview with a Retail Investor who Outperformed AGG by 9.57%
Mr. X, How would you describe your fixed income investment strategy? “I see my overall strategy as a go anywhere, any maturity...