RISK PREMIUM

Thanks to our good understanding of the dynamics of risk premia (see our background papers), we have developed a model for extracting risk premia on government bonds that is much more efficient than existing models. Everyone is talking about "term premium" or "buy-and-hold" risk premia today, but this is where you will find the most realistic daily estimates for US Treasuries (updated every evening around 4:30 PM ET)!... Over a period of 30 years, we have developed our expertise on what determines the risk premia observed in the markets. For practitioners, this short paper presents in a simple way our conclusions on certain market dysfunctions and why sooner or later …