A largely ignored measurement derived from the US Treasury yield curve, with a name reminiscent of the space station in Star Wars, could help understand the forces at play in global markets, new research suggests.
‘D-star’ – a hump in the US Treasury curve that reflects investor risk appetite – is a simple quantitative metric with the power to predict market implosions, research firm CrossBorder Capital says.
The firm thinks the position of D-star can help predict key stress indicators such as
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?
- Teach history to avoid mistakes of yesterday’s quants