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Donald van Deventer
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Donald R. van Deventer founded the Kamakura Corporation in April, 1990 and is currently Chairman and Chief Executive Officer. Dr. van Deventer's emphasis at Kamakura Corporation is enterprise wide risk management and modern credit risk technology. The second edition of his newest book, Advanced... More
My company:
Kamakura Corporation
My blog:
Donald R. van Deventer's Kamakura Blog
My book:
Advanced Financial Risk Management, 2nd Edition 2013
  • A 13 Quarter CCAR Stress Test Of The U.S. Treasury Curve, August 19, 2014 0 comments
    Aug 20, 2014 12:34 PM | about stocks: TLT, TBT, SHY, IEF, TMV, TBF

    (click to enlarge)cc

    This graph shows the results of a single scenario stress test to the U.S. Treasury yield curve. The simulated yield movements over 13 quarters are generated by a Kamakura Risk Information Services 9 factor Heath Jarrow and Morton model with rate-dependent interest rate volatility. The parameters, which are available from Kamakura Corporation for use in Kamakura Risk Manager, are estimated using quarterly data from 1962 through June 30, 2014. The periodicity (quarterly) and time horizon (13 quarters) matches that of the Federal Reserve 2014 Comprehensive Capital Analysis and Review.

    For more information on Kamakura Corporation's world-wide stress testing services using Kamakura Risk Manager, please contact Kamakura Corporation at info@kamakuraco.com.

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

    Themes: market outlook, economy, bonds Stocks: TLT, TBT, SHY, IEF, TMV, TBF
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