Solutions
    
 Research

Kamakura's risk management tools and counsel are built on a foundation of research that is:

  • Ongoing
  • Unrivaled
  • Extensive
  • Peer reviewed

Resources from our experts:
New Research!

"Forward Curve Smoothing" by Robert Jarrow

"Fiscal Consolidations and Bank Balance Sheets" by Jacopo Cimadomo, Sebastian Hauptmeier and
Tom Zimmermann

"A Generalized Multiple-Factor Asset Pricing Model" by Robert Jarrow

"The Zero-Lower Bound on Interest Rates: Myth or Reality?" by Robert Jarrow

"Problems with Using CDS to Infer Default Probabilities" by Robert Jarrow

"The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates" by Robert Jarrow and Hao Li

"Governance Risk and Compliance (GRC) - Appreciating the Enigma Around It" by Suresh Sankaran, from Asian Banking and Finance

"A Gold Bubble?" by Robert Jarrow, Younes Kchia, and Philip Protter

"Risk Management Models: Construction, Testing, Usage" by Robert Jarrow

"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt" by Jens Hilscher & Yves Nosbusch

Financial Derivatives Pricing: Selected Works of Robert Jarrow

Access our Research Library

    
 News

September 2, 2014
Kamakura Reports Improvement in Corporate Credit Quality in August
Kamakura Troubled Company Index Decreases 0.22% to 4.36% from July 31


August 1, 2014
Kamakura Reports Slight Decline in Corporate Credit Quality in July
Kamakura Troubled Company Index Increases 0.13% to 4.58%


July 16, 2014
Bank of Communications China implements Kamakura Corporation suite of solutions for Market Risk including adoption of the internal models approach (IMA) for regulatory compliance

July 1, 2014
Kamakura Reports Slight Decline in Corporate Credit Quality in June:
Kamakura Troubled Company Index Increases 0.13% to 4.45%


June 19, 2014
New Research by Robert Jarrow Integrates Yield Curve Smoothing and Interest Rate Modeling:
Techniques Used by Many Central Banks Inconsistent with “No Arbitrage”

June 16, 2014
Government Savings Bank (GSB) Selects Kamakura Corporation to Implement IAS39/IFRS39

June 2, 2014
Kamakura Reports Improved Corporate Credit Quality in May
Kamakura Troubled Company Index Decreases 0.31% to 4.32%


May 16, 2014
Capturing Alpha in the Bond Market: J.P. Morgan Asset Management Strategy Article Features Kamakura Default Probabilities

May 2, 2014
Fiscal Consolidations and Bank Balance Sheets
New Research Paper Provides an Empirical Link between Bank and Sovereign Risk


May 1, 2014
Kamakura Reports Improved Corporate Credit Quality In April

April 1, 2014
Kamakura Reports Improved Corporate Credit Quality in March

March 3, 2014
Kamakura Reports Improved Corporate Credit Quality in February

February 3, 2014
Kamakura Reports Improved Corporate Credit Quality in January

January 2, 2014
Kamakura Reports Stable Corporate Credit Quality in December

October 17, 2013
Prof. Robert Jarrow speaks at MIT in honor of 40th anniversary of Black-Scholes

July 18, 2013
Risk Vendor Kamakura Corporation Names Martin Zorn President and COO

June 21, 2013
Kamakura Announces 2013-2014 Seminar Series on Stress Testing, Multi-Factor Interest Rate Modeling, and the Transition from Ratings to Default Probabilities

June 13, 2013
Kamakura Announces Webinar on Credit Risk Modeling in Insurance Led by Prof. Robert Jarrow

May 15, 2013
New Kamakura Research from Prof. Robert Jarrow
"A Generalized Multiple-Factor Asset Pricing Model"

May 8, 2013
New Kamakura Research from Prof. Robert Jarrow
"The Zero-Lower Bound on Interest Rates: Myth or Reality?"

January 4, 2012
Kamakura Corporation Named to World Finance 100

May 11, 2010 - Dr. Robert Jarrow Testimony before the Subcommittee on Oversight & Investigations
For Video Version Click Here 
For Text Version Click Here
 
January 14, 2009
Kamakura Managing Director Robert A. Jarrow Named for RISK Magazine 2009 Lifetime Achievement Award



More...

  
 Events
    
 Blog Entries

Kamakura Corporation Named to World Finance 100

August 26, 2014
Transfer Pricing and Valuation Yield Curves without Swap Data: A KeyBank and KeyCorp Example

August 18, 2014
More Evidence on the Funding “Subsidy” of the Too Big to Fail Banks

August 14, 2014
Mortgage Servicing Rights Values Close Mixed for the Week as Current and Forward Mortgage Rates Drop 0.03%

August 13, 2014
Liquidity At Risk – A stochastic look at cashflows

August 12, 2014
Five of Seven Regional Banks Trade at Credit Spreads Better than the Too Big to Fail Banks

August 12, 2014
Kinder Morgan Energy Partners Leads the 20 Best Value Bond Trades with Maturities of 10 Years or More

August 11, 2014
Measuring the Funding Costs of the Too Big to Fail Banks:
The U.S. Dollar Cost of Funds Index™


August 8, 2014
Forward 1 Month T-Bill Rates Plunge 0.26% in 2 Years but Forward 10 Year U.S. Treasury Yield Drops Only 0.04% from Last Week

August 6, 2014
Credit Spreads and Default Probabilities: A Simple Model Validation Example

August 5, 2014
Vodafone Group PLC: Default Risk is Down Sharply But Value Ranks in the Bottom 10% of Bonds

July 30, 2014
American International Group Inc. Bonds:
A Reward to Risk Ratio Twice as High as the Median Bond Issue


July 29,2014
AT&T Inc. Bonds: Ten Times the Risk of IBM and Below Average Value

July 15, 2014
Brazil, Italy, Spain, Credit Default Swaps and the
European Commission Short Sale Ban, 2010-2014


July 14, 2014
Bank of America and MBIA Lead U.S. Bank Credit Default Swap Trading Volume, 2010-2014

March 19, 2014
Stress Testing and Interest Rate Risk Models: A Multi-Factor Stress Testing Example

March 13, 2014
Stress Testing: A Credit Spread Ranking of 12 U.S. and 12 International Banks

More...