-
Recent Posts
Recent Comments
- Miguel Sousa Soares on Home
- Mike on Home
- Kent Ennis on A Guide to Duration, DV01, and Yield Curve Risk Transformations
- Kent Ennis on Home
- Matthew Brown on A Practical Guide to Risk Management
Archives
- March 2017
- July 2014
- December 2013
- October 2013
- September 2013
- June 2013
- January 2013
- October 2012
- September 2012
- May 2012
- August 2011
- July 2011
- May 2011
- March 2011
- November 2010
- August 2010
- July 2010
- April 2010
- December 2009
- October 2009
- March 2009
- September 2008
- June 2005
- February 2004
- July 2003
- December 1999
- October 1999
- September 1997
- December 1995
- July 1985
- September 1981
Categories
Meta
Author Archives: Thomas Coleman
Household Debt and Spending
My fear is that the current recovery is storing up problems for the future. Household debt continues to decline, and the savings rate has increased. This should be good news for the recovery of the economy: much of the recent … Continue reading
Posted in Economics, Musings
Leave a comment
A Primer on Credit Default Swaps
What is a CDS? How does a CDS behave in response to changes in the markets? How does one value a CDS? What is the risk? This primer aims to answer these questions for plain-vanilla single-name CDS, showing that a … Continue reading
Inflation Background and Current Situation
As Milton Friedman said, “Inflation is always and everywhere a monetary phenomenon.” Bernanke in his textbook says “The existence of a close link between the price level and the money supply in an economy is one of the oldest and … Continue reading
Thoughts on the Current Macroeconomic Environment
The current macroeconomic environment may appear complicated but is much simplified by focusing on two issues: First, the recent speculative boom and bust and the consequences following there from; Second the increases in spending (fall in “savings rate”) over recent … Continue reading
Posted in Economics, Musings
Leave a comment
Estimating The Correlation Of Non-Contemporaneous Time-Series
This paper examines the statistical problem of estimating the correlation of non-contemporaneous time-series observations such as daily returns for the FTSE and S&P500 stock indexes. A December 2007 .pdf version is available on SSRN, and there is an abridged version.
A Practical Guide To Bonds And Swaps
This manual provides a practical introduction to the fixed income capital markets. It is intended to provide the practical, institutional aspects of the markets together with the fundamental concepts used in today’s capital markets. In line with their ubiquity throughout … Continue reading
Fitting Forward Rates To Market Data
This paper has two purposes. First, to outline a general framework or methodology for fitting the forward curve to market data. Second, to report on and compare results from fitting forward curves using three particular functional forms: piece-wise constant forward … Continue reading
Effective degrees of freedom during the radiation era
This is a physics paper that grew out of my collaboration with Matts Roos in his publication of the 3rd edition of his text Introduction to Cosmology. This paper updates the curves of the effective degrees of freedom for the … Continue reading
Compensating Fund Managers for Risk-Adjusted Performance
This paper (Journal of Alternative Investments, volume 2, number 3, winter 1999, by Thomas S. Coleman and Laurence B. Siegel) explores a risk-adjusted performance fee structure for hedge funds that addresses incentive compatibility and helps reduce asymmetry, while at the … Continue reading
Accurately Estimating and Building the Yield Curve
Presentation for Risk Magazine Yield Curve Course, October 1999. Using methodology from “Fitting Forward Rates to Market Data,” discusses the general approach to fitting the yield curve, mathematics of yield and forward curves, a simple example, use of and criteria … Continue reading
Posted in Conferences, Valuation and Modeling
Leave a comment