US Treasury bond Archives - Page 15 of 49 - 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, 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 18, 2022: Peak in 1-Month Treasury Forward Rates Falls 0.35% to 5.16%

Nov 20, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.16%, down 35 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, November 4, 2022: Most Likely 3-Month Treasury Yields in 10 Years within 1% to 2% Range

Nov 6, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.60%, up 14 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 28, 2022: Treasury 1-Month Forward Rate Peak Slides 0.20% to 5.46%

Oct 30, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.46%, down 20 basis points from last week. As explained in Prof. Robert...

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, 2022

Oct 29, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] First Version:...

SAS Weekly Forecast, October 21, 2022: Treasury 1-Month Forward Rate Peak Jumps 0.41% to 5.66%

Oct 23, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The 1-month forward U.S. Treasury yield now peaks at 5.66%, up 41 basis points 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, 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 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...

SAS Weekly Forecast, September 23, 2022: Peak in 1-month Forward Treasury Rates Falls 0.21% to 4.68% on Yield Curve Twist

Sep 26, 2022 | Donald R. Van Deventer, Ph.D., RESEARCH

The Federal Reserve’s 75 basis point increase resulted in a yield curve twist, with shorter term Treasury yields shifting up and...

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...