simulation Archives - Page 23 of 73 - 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 Euro Zone Forecast, June 23, 2023: Inverted Bund Yields Likely to Persist into 2024

Jun 27, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

This week’s simulation shows that the current negative 2-year/10-year Bund yield spread is very likely to persist at least...

SAS Weekly Forecast, June 23, 2023: Inverted Treasury Yields Near Certainty Through Year-End

Jun 25, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

This week’s simulation shows that the current negative 2-year/10-year Treasury yield spread is a near certainty to persist at...

SAS Weekly Forecast, June 16, 2023: A Pause After the Pause

Jun 18, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

This week’s simulation shows an interest rate outlook very similar to last week, a pause after the Fed’s pause in rate hikes....

SAS Weekly Forecast, June 9, 2023: A 14-Country Perspective on U.S. Treasury Yields

Jun 11, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Beginning with this forecast, we benchmark the U.S. Treasury simulation on a database with seven times more data than U.S....

SAS Weekly Forecast, May 26, 2023: Inverted Yield Streak Now Third Longest Since 1976

May 28, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

As of Friday, the current streak of trading days with a negative 2-year/10-year Treasury spread has reached 225 days, the third...

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

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

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, May 12, 2023: Steep Decline In 1-Month Forward Treasury Rates Imminent

May 13, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show a sharp drop in the near term, especially...

SAS Weekly Forecast, May 5, 2023: Long-term 1-Month Forward Rate Peak Drops 0.22%

May 7, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Both implied forward Treasury 1-month bill rates and simulated 3-month bill rates show much less volatility this week. A sharp...

SAS Weekly Forecast, April 7, 2023: Inverted Yield Curve Now in Day 190

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

If the Treasury 2-year/10-year spread continues to be negative for another month, this bout of negative spreads will become the...

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., RESEARCH

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 17, 2023: Silicon Valley Bank Treasury Shock Persists

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

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., RESEARCH

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