An 11 Factor Heath, Jarrow and Morton Model for the Thai Government Bond Yield Curve: Implications for Model Validation Donald...
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Credit Spreads and Default Probabilities: A Simple Big Data Model Validation Example
In an article in August of 2014, we focused on one of the most persistently used formulas in fixed income markets: Credit Spread...
An Updated 10 Factor Heath, Jarrow and Morton Model for the U.S. Treasury Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty-one years of...
Royal Bank of Scotland: Bank Rescues, Credit Spreads, and Default Probabilities
A recent conversation with Prof. Edward Kane of Boston College and today's news that Royal Bank of Scotland PLC had the most...
Yingli Green Energy Holding Company Limited
A Case Study of Yingli Solar Using KRIS Default Probabilities May 19, 2016 The objective of this write-up is to showcase how the...
CCAR Stress Tests for 2016: A Wells Fargo & Co. Example of Effective Challenge for Default Probability Stress Testing
In our two previous notes on this topic, we analyzed stress testing methodologies for default probabilities in “Bank of America...
Fair Value and Expected Credit Loss Estimation: An Accuracy Comparison of Bond Price versus Spread Analysis Using Lehman Data
Donald R. van Deventer and Suresh Sankaran April 25, 2016 The International Financial Reporting Standard (“IFRS”) 9 and the...
An Introduction to Stress Testing: Oil Prices, Default Probabilities and Credit Spreads
Over the last 18 months, the dramatic fall in oil prices has triggered a dramatic widening of credit spreads and default...
Bank of America and CCAR 2016 Stress Testing: A Simple Model Validation Example
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
The Regime Change Term Structure Model: A Simple Model Validation Approach
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
An Updated Multi-Factor Heath Jarrow and Morton Model For U.S. Treasuries, 1962-2015
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Singapore Government Securities Yields: A Multi-Factor Heath Jarrow and Morton Model
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...