RISK PREMIUM

Thanks to our good understanding of the dynamics of risk premia and the key role played by expectations (see this recently published article and our background papers), we have developed a model for extracting risk premia on government bonds that is much more efficient than existing models. The election of Donald Trump sparked a renewed interest in "term premia" or "buy-and-hold" risk premia, and here you will find the most realistic real-time estimates for US Treasuries (updated each evening at the end of trading around 4:30 p.m. ET).