simulation Archives - Page 25 of 74 - 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.

CONNECT ME

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...

SAS Weekly Forecast, November 10, 2022: Treasury Yields Plunge But Peak in Forward Rates Drops Just 0.09% to 5.51%

Nov 13, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.51%, down 9 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 7, 2022: Near-term Forward Rate Peak up 0.31% to 4.84%

Oct 9, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The near-term forward 1-month U.S. Treasury yield now peaks at 4.84%, up 31 basis points from last week. As explained in Prof....

SAS Weekly Forecast, September 16, 2022: Peak in 1-month Forward Treasury Rates Falls 0.09% to 4.89%

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

The forward 1-month U.S. Treasury yield now peaks at 4.89%, down 9 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, September 9, 2022: Peak in 1-month Forward Treasury Rates Steadies at 4.98%

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

The forward 1-month U.S. Treasury yield now peaks at 4.98%, up 3 basis points from last week. As explained in Prof. Robert...

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...