simulation Archives - Page 24 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 Forecast, March 3, 2023: One-Month Treasury Forward Rate Spikes to 5.42%

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

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., RESEARCH

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

SAS Weekly Forecast, February 17, 2023: 2-year/10-year Treasury Negative Spread Won’t End Soon

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

Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks likely to persist well into fall, 2023 and...

SAS Weekly Forecast, February 10, 2023: Length of Treasury Inversion Fourth Longest Since 1976

Feb 12, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread has now persisted for 151 days, the fourth longest...

SAS Weekly Forecast, February 3, 2023: Inverted Treasury Yield Curve Likely to Persist Through August

Feb 5, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

Today’s simulation shows that the inverted 2-year/10-year spread is likely to persist through August. The analysis below show...

SAS Weekly Forecast, January 27, 2023: Probability of Inverted Treasury Yields Is 0 in 2025

Jan 29, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The most important statistic from this week’s simulation is the future probability of an inverted 2 year/10 year Treasury yield...

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 13, 2023: Forward U.S. Treasury Yields Twin Peaks Shrink

Jan 15, 2023 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield currently curve shows twin peaks down 0.24% in the short term and down 0.14% over the...

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 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, November 25, 2022: U.S. Treasury Forward Rates Flatten Out

Nov 27, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.00%, down 16 basis points from last week. As explained in Prof. Robert...