This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...
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Goldilocks Loses
Kamakura Troubled Company Increases by 1.90% to 5.30% Credit Quality Remains Strong but Drops to the 97th Percentile NEW YORK,...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Australian Government Securities Yield Curve, Using Daily Data from January 2, 1996 through October 31, 2021
Donald R. van Deventer[1] First Version: November 18, 2021 This Version: November 30, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, November 26, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Spain Yield Curve, Using Daily Data from July 1, 1987 through October 31, 2021
Donald R. van Deventer[1] First Version: November 22, 2021 This Version: November 23, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, November 19, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Banking on Bonds
Banking on Bonds A recent Wall Street Journal article[1] noted that trading activity in bank bonds, including bank holding...
Kamakura Weekly Forecast, November 12, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
The Valuation of Corporate Coupon Bonds∗
Jens Hilscher†, Robert A. Jarrow‡, and Donald R. van Deventer§ November 9, 2021 Abstract This paper shows that, for a sample of...
Kamakura Weekly Forecast, November 5, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Fat Tails, Transitory Inflation and the Credit Cycle
Fat Tails, Transitory Inflation and the Credit Cycle Kamakura Troubled Company Index Declines by 0.03% to 3.40% Credit Quality...
Kamakura Weekly Forecast, October 29, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...