Canadian Government Bonds Archives - Page 4 of 8 - SAS Risk Data and Analytics

ABOUT THE AUTHOR

Donald R. Van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as Co-Chair, Center for Applied Quantitative Finance, Risk Research and Quantitative Solutions at SAS. Don’s focus at SAS is quantitative finance, credit risk, asset and liability management, and portfolio management for the most sophisticated financial services firms in the world.

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HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 13, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 13, 2025

Jun 20, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...