Due to their status as "theʺ benchmark yield for the world’s largest government bond market and its importance for US monetary policy, the interest in a "goodʺ forecast of the constant maturity yield of the 10-year U.S. Treasury bond ("T-bond yieldsʺ) is immense. This paper assesses three...

A portfolio of nonperforming loans requires economic capital. We present two models for forecasting the portfolio loss and its probability distribution. In the first model, the loss for each nonperforming loan entails a change in provision over the risk horizon. The risk determinants are the...