interest rates Archives - Kamakura Corporation

ABOUT THE AUTHOR

Donald R. Van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading edge financial theory to solve critical financial risk management problems. Don was elected to the 50 member RISK Magazine Hall of Fame in 2002 for his work at Kamakura.

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SAS Weekly Forecast, May 19, 2023: Inverted Yield Streak Tied for Third Longest Since 1976

May 22, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 220 days, tied with...

SAS Weekly Forecast, April 28, 2023: Treasury Debt Cap Distortion Moderates

Apr 30, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...

SAS Weekly Forecast, April 21, 2023: Measuring Treasury Debt Cap Distortion

Apr 23, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show high volatility and a sharp downshift,...

SAS Weekly Forecast, March 31, 2023: Long-run Peak in Treasury Forward Rates Drops 11 Basis Points

Apr 2, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

We show below that the long-run peak in U.S. 1-month forward rates dropped this week from 4.85% to 4.74%. The probability that...

SAS Weekly Forecast, March 24, 2023: Calculating the Default Risk of Interest Rate Mismatches

Mar 25, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

The weekly interest rate simulation now includes an assessment of the probability of default when a bank, institutional...

SAS Weekly Forecast, March 17, 2023: Silicon Valley Bank Treasury Shock Persists

Mar 19, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...

SAS Weekly Forecast, March 10, 2023: Silicon Valley Bank Flight to Safety Edition

Mar 12, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Today’s Treasury yield simulation reflects the strong investor “flight to safety” in the wake of Friday’s collapse of Silicon...

SAS Weekly Forecast, March 3, 2023: One-Month Treasury Forward Rate Spikes to 5.42%

Mar 5, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Today’s analysis shows that the one-month forward U.S. Treasury yield hits a near-term peak of 5.42%. As explained in Prof....

SAS Weekly Forecast, February 24, 2023: 2-year/10-year Treasury Negative Spread at Day 160

Feb 26, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks almost certain to continue into 2024. As...

An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2022

Feb 22, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...

A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities

Jan 30, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

Robert A. Jarrow and Donald R. van Deventer A Revised Version of this Note is Forthcoming in the Journal of Fixed Income ...

SAS Weekly Forecast, January 20, 2023: Peak in Forward U.S. Treasury Yields Drops 0.10%

Jan 22, 2023 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield curve currently shows a long-term peak down 0.10% this week. As explained in Prof....