Lifetime loan forecasting has become essential to lender risk management and profitability. Loan-pricing models require forecasts over the life of the loan. Current expected credit loss (CECL) ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. In the previous post, we looked at some statistical properties of the empirical distributions of spot SPX and VIX ...

Traders typically create mean-reverting systems to capture gains in anticipation of prices moving from their current levels to their long-run average levels. This week, we discuss whether to choose ...

The spread between two related energy prices is a very important quantity throughout energy finance. Of particular interest are spreads between different energy types, different delivery points ...

If you are into mean reverting trades like I’am TLT might provide an opportunity. The TLT has gapped down to its 200 day moving average where it can possible bounce, and if the SPY retraces the TLT ...