Monthly Archives: September 2012

Markets are only fair with mass transparency at low to no cost on price data

Markets require mass transparency to get even a few people to have a dialogue on substance based on numbers.  This requires a population of millions to generate a substantive discussion by even a few people. Derivatives data that is hidden … Continue reading

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SLV RS-DMRP Comparison Graph one year yield Dec 2000

SLV RS-DMRP Comparison Graph  one year yield Dec 2000.  This is a repeat of earlier graph but is given here for completeness with others.  Click on graph to see clearer version with distinct writing. == ==

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SLV RS-DMRP Comparison Graph 20 year minus one year yield Dec 2000

SLV RS-DMRP Comparison Graph 20 year minus one year yield Dec 2000.  Click on graph to see clearer version with distinct writing. == ==

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SLV RS-DMRP Comparison Graph 20 year yield Dec 2000

The Academy of Actuaries SLV model and Regime Switching DMRP are compared starting from December 2000.  Click on graph to see clearer version with more distinct writing. = == SLV v RSDMRP 20 year yield start Dec 2000

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2011 Valuation Actuary Symposium Faye Albert Mark Tenney Economic Scenario Generators

Faye Albert and Mark Tenney presentation on Economic Scenario Generators at 2011 Valuation Actuary Symposium. http://www.soa.org/files/pd/2011-orlando-valact-57.pdf The graphs are hard to read, so you may want to buy the e-book version, which has clear copies of the graphs. e-book vendor … Continue reading

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SLV v RS-DMRP December 2000 5th 95th Percentiles

We show a comparison of the SLV v RS-DMRP December 2000 5th 95th Percentiles.  Click on graph to see enlarged clearer version where writing is distinct. == == Comparison of SLV to RS-DMRP for December 2000 Start Date US Treasury … Continue reading

Posted in Academy of Actuaries SLV Model, Ben Bernanke, Mark Tenney Interest Rate Model, Regime Switching DMRP, RS-DMRP, Stochastic Log Volatility Model, Zero Rate Policy | Leave a comment