Robert A. Jarrow and Donald R. van Deventer A Revised Version of this Note is Forthcoming in the Journal of Fixed Income ...
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The Reduced Form Approach to SOFR Swap and Swaption Valuation
Robert A. Jarrow[1] and Donald R. van Deventer[2] Presentation to Risk Americas, May 11, 2022 This Version: May 19, 2022...
The Valuation of Corporate Coupon Bonds∗
Jens Hilscher†, Robert A. Jarrow‡, and Donald R. van Deventer§ January 3, 2022 Abstract This paper shows that, for a sample of...
The Reduced Form Model Explanation for the Bond/CDS Basis
The Reduced Form Model Explanation for the Bond/CDS Basis: Presentation to Risk Americas Robert A. Jarrow and Donald R. van...
The Valuation of Corporate Coupon Bonds
Abstract This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes...
A Quantitative Assessment of Errors from The Use of Credit Ratings in Credit Portfolio Management, Part 3: Credit Spreads
DOWNLOAD PDF Abstract This is the third of three attempts to justify the use of 158-year-old credit ratings in the credit...
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy...
Maximizing Risk-Adjusted Fixed Income Returns: An Interview with a Retail Investor who Outperformed AGG by 9.57%
Mr. X, How would you describe your fixed income investment strategy? “I see my overall strategy as a go anywhere, any maturity...