A number of authors have suggested that credit default swap pricing be used as a basis for setting deposit insurance premiums...
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CDS Trading Volume for 1,256 Reference Names From 2010 to June 26, 2015
In this report, we update the semi-annual Kamakura Corporation analysis of trading volume in single name credit default swaps as...
The 3 Month T-Bill Rate: Average of 100,000 Scenarios Up 0.23% to 3.46% in 2025
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
Measurement of Model Error and Model Validation for Interest Rate Risk in the Banking Book
Regulatory risk regulations launched in the wake of the credit crisis emphasize the impact of a wide range of macro-economic...
The 3 Month T-Bill Rate: Average of 100,000 Scenarios Up Slightly to 3.23% in 2025
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
Constructing a Mortgage Valuation Yield Curve
In this chapter, we follow Jarrow and van Deventer (2013) to show how to construct a mortgage valuation yield curve that...
The 3 Month T-Bill Rate: 2025 Forecast Jumps 0.20% to 3.22% As Long Yields Set Yearly Highs
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
The 3 Month T-Bill Rate: 2025 Forecast Drops 0.02% to 3.02% This Week
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
What about correlated explanatory variables in a default model?
One of the most frequently asked questions when people review predictive models of default is this: “Aren’t those explanatory...
The Fed’s CCAR 2015 Stress Test Results: A Simple Model Validation Example Using Credit Spreads
The Federal Reserve released the results of the Comprehensive Capital Analysis and Review stress tests on the afternoon of...
Bond Market Stress Test: 25 Financial Institutions Have Lower Credit Spreads than the Best “Too Big to Fail” Bank
The Federal Reserve will announce the results of the “DFAST” stress tests on March 5. On March 13, 2014, we pointed out the many...
Low Rate and Negative Rate Model Validation for Interest Rate Risk and Asset and Liability Management
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...