Chartis Research Report Ranks Kamakura Risk Manager (Fiserv KRM) Number 1 in the World July 23, 2010 Friday Forecast: 10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads Kamakura Blog: Fixed Income Performance Attribution July 16, 2010 Friday Forecast: 10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Kamakura Blog: The Links between CDS Spreads and Default Probabilities More...
In Part 1 of our series on the basic building blocks of yield curve smoothing, we listed 13 different approaches one could take to smoothing yields or forward rates. In this installment, we talk about how the definition of “best” yield curve or forward rate curve and the constraints one imposes on the resulting yield curve implies the mathematical function that is “best.” This is the right way to approach smoothing. The wrong way to approach smoothing is the exact opposite: choose a mathematical function from the infinite number of functions one could draw and argue qualitatively why your choice is the “right one.” In this post, we discuss the definition of “best” yield curve and the constraints commonly placed on the smoothing process. Read More »
In Part 1 of our series on the basic building blocks of yield curve smoothing, we listed 13 different approaches one could take to smoothing yields or forward rates. In this installment, we talk about how the definition of “best” yield curve or forward rate curve and the constraints one imposes on the resulting yield curve implies the mathematical function that is “best.” This is the right way to approach smoothing. The wrong way to approach smoothing is the exact opposite: choose a mathematical function from the infinite number of functions one could draw and argue qualitatively why your choice is the “right one.” In this post, we discuss the definition of “best” yield curve and the constraints commonly placed on the smoothing process.
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More than 100 people gathered in New York on Wednesday for an excellent conference organized by Structured Credit Investor. I was a panelist for a session on risk management in the structured products business. Because the conference was “off the record,” I am sorry that I can only pass on my own remarks and not the more intelligent insights of my fellow panelists. Read More »
More than 100 people gathered in New York on Wednesday for an excellent conference organized by Structured Credit Investor. I was a panelist for a session on risk management in the structured products business. Because the conference was “off the record,” I am sorry that I can only pass on my own remarks and not the more intelligent insights of my fellow panelists.
Our recent series on Nelson Siegel and other yield curve smoothing techniques has generated an enormous amount of interest. We’ve come to the conclusion that the art of constructing a yield curve deserves more attention than it’s gotten. This blog outlines what we have planned and seeks your suggestions. Read More »
Our recent series on Nelson Siegel and other yield curve smoothing techniques has generated an enormous amount of interest. We’ve come to the conclusion that the art of constructing a yield curve deserves more attention than it’s gotten. This blog outlines what we have planned and seeks your suggestions.
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