Navigating An Uncharted Path Kamakura Troubled Company Index Decreases by 0.13% to 8.20% Credit Quality Improves Slightly to the...
SAS Weekly Forecast, December 2, 2022: Long-term Forward U.S. Treasury Peak Drops 0.25%
The long-term 1-month forward U.S. Treasury yield now peaks at 4.75%, down 25 basis points from last week. As explained in Prof....
SAS Weekly Forecast, November 25, 2022: U.S. Treasury Forward Rates Flatten Out
The 1-month forward U.S. Treasury yield now peaks at 5.00%, down 16 basis points from last week. As explained in Prof. Robert...
SAS Weekly Forecast, November 18, 2022: Peak in 1-Month Treasury Forward Rates Falls 0.35% to 5.16%
The 1-month forward U.S. Treasury yield now peaks at 5.16%, down 35 basis points from last week. As explained in Prof. Robert...
SAS Weekly Forecast, November 10, 2022: Treasury Yields Plunge But Peak in Forward Rates Drops Just 0.09% to 5.51%
The 1-month forward U.S. Treasury yield now peaks at 5.51%, down 9 basis points from last week. As explained in Prof. Robert...
Financial Market Fragility
Financial Market Fragility Kamakura Troubled Company Index Decreases by 0.07% to 8.46% Credit Quality Remains at the 95th...
SAS Weekly Forecast, November 4, 2022: Most Likely 3-Month Treasury Yields in 10 Years within 1% to 2% Range
The 1-month forward U.S. Treasury yield now peaks at 5.60%, up 14 basis points from last week. As explained in Prof. Robert...
SAS Weekly Forecast, October 28, 2022: Treasury 1-Month Forward Rate Peak Slides 0.20% to 5.46%
The 1-month forward U.S. Treasury yield now peaks at 5.46%, down 20 basis points from last week. As explained in Prof. Robert...
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 September 30, 2022
Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...
SAS Weekly Forecast, October 21, 2022: Treasury 1-Month Forward Rate Peak Jumps 0.41% to 5.66%
The 1-month forward U.S. Treasury yield now peaks at 5.66%, up 41 basis points from last week. As explained in Prof. Robert...
The Valuation and Hedging of Non-Maturity Deposits In Multi-Factor Interest Rate Models[1]
Source: Wall Street Journal, September 13, 2022 Robert A. Jarrow, Stas Melnikov, Warren Sherman, Donald R. van Deventer and...
SAS Weekly Forecast, October 14, 2022: Treasury 1-Month Forward Rate Peak Up 0.32% to 5.25%
The 1-month forward U.S. Treasury yield now peaks at 5.25%, up 32 basis points from last week. As explained in Prof. Robert...