inversion Archives - Page 26 of 64 - 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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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., RESEARCH

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

SAS Weekly Forecast, January 6, 2023: Forward U.S. Treasury Yield Twin Peaks Persist

Jan 8, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield currently show twin peaks at 5.04% in the short term and 4.77% over the longer term. As...

SAS Weekly Forecast, December 30, 2022: Forward U.S. Treasury Yields Show Twin Peaks Near 5.05%

Jan 1, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield curve currently shows twin peaks at 5.06% in the short term and 5.01% over the longer...

SAS Weekly Forecast, December 23, 2022: Long-term Forward U.S. Treasury Peak Jumps 0.20%

Dec 25, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The long-term 1-month forward U.S. Treasury yield now peaks at 4.84%, up 20 basis points from last week. As explained in Prof....

SAS Weekly Forecast, December 16, 2022: Long-term Forward U.S. Treasury Peak Drops 0.11%

Dec 18, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

Despite last week’s rate increase by the Federal Reserve, the long-term 1-month forward U.S. Treasury yield now peaks at 4.64%,...

SAS Weekly Forecast, December 9, 2022: Long-term Forward U.S. Treasury Peak Stable at 4.75%

Dec 11, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The long-term 1-month forward U.S. Treasury yield now peaks at 4.75%, unchanged from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 14, 2022: Treasury 1-Month Forward Rate Peak Up 0.32% to 5.25%

Oct 16, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

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...

SAS Weekly Forecast, September 30, 2022: Market Rate Expectations Step Up

Oct 2, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

Using daily Treasury data from 1962, this week’s simulation shows a step up in market expectations gleaned from a rational...

Kamakura Weekly Forecast, September 2, 2022: Peak in 1-month Forward Treasury Rates Climbs to 4.95%

Sep 4, 2022 | Donald R. Van Deventer, Ph.D.

Treasury yields moved surprisingly little on the day of Chairman Powell’s Jackson Hole comments, but on reflection early last...

Kamakura Weekly Forecast, August 26, 2022: Lawyer Jerome Powell versus 15,154 Days of Treasury Yields

Aug 28, 2022 | Donald R. Van Deventer, Ph.D.

Reformed lawyer Jerome Powell argued in Jackson Hole that market participants are underestimating the Fed’s determination to...

Kamakura Weekly Forecast, August 19, 2022: Negative 2-year/10-year Spread, Trading Day 33

Aug 21, 2022 | Donald R. Van Deventer, Ph.D.

Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The negative 2-year/10-year Treasury spread...

Kamakura Weekly Forecast, August 12, 2022: Negative 2-year/10-year Spread, Trading Day 28

Aug 13, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The market has now had a month to adjust to...