Welcome
Donald R. van Deventer, Ph.D.
Five Decades of Financial Economics
and Risk Management
About Me
Over the last five decades, Dr. van Deventer has published research in risk management and financial economics.
His personal website includes selected research in the public domain and new public domain analytics.
key research topics
- Multinational Correlated Government Yield and Foreign Exchange Rate Simulations.
- Credit-adjusted Valuation and Hedging of Non-maturity Deposits.
- Simulation of the Term Structure of Default Probabilities.
- Simulation of the Term Structure of Liquidity Premiums.
- Advanced Fitting of Recovery Rates and Liquidity Premiums for Corporate Bond Valuation.
- Monte Carlo Valuation of Collateralized Loan and Debt Obligations.
- Monte Carlo Valuation and Hedging of Entire Financial Institution Balance Sheets.