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%. ...
CONNECT ME
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...
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...
Kamakura Weekly Forecast, October 15, 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...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 12, 2021 This Version: October 13, 2021 ABSTRACT Please note: Kamakura...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Russia Yield Curve, Using Daily Data from January 4, 2003 through August 31, 2021
Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
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...