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Zero Coupon Yields And Credit Spreads For JPMorgan Chase & Co., June 25, 2014

|Includes:JPMorgan Chase & Co. (JPM)

(click to enlarge)jpmZeroCurveClick to enlarge

This graph shows the zero coupon yield curve for both the issuer and the U.S. Treasury. Both curves are produced by Kamakura Risk Information Services using Kamakura Risk Manager, version 8.1. The U.S. Treasury curve is created by the maximum smoothness forward rate method of Adams and van Deventer [1994], which was recently confirmed as consistent with "no arbitrage" standards of Heath, Jarrow and Morton in an important paper by Kamakura Managing Director Prof. Robert A. Jarrow. The issuer's zero coupon yield curve was created by applying the maximum smoothness forward rate approach to zero coupon credit spreads, relative to the base U.S. Treasury curve. Zero coupon credit spreads are a critical input to the risk management process, with applications in counterparty credit risk, transfer pricing, stress testing, capital adequacy assessment, market risk and asset and liability management.

For more information on KRIS zero coupon yield curve data, please contact For more information on the maximum smoothness forward rate approach, see Chapters 5 and 17 of van Deventer, Imai and Mesler Advanced Financial Risk Management, 2nd edition, John Wiley & Sons, 2013.

Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

Stocks: JPM