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Today’s forecast for U.S. Treasury yields is based on the August 26, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm August 27, 2010.  The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.

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On September 21, 1897 an article in the New York Sun assured young Virginia O’Hanlon, “Yes, Virginia, there is a Santa Claus.” Virginia had been told by her friends that there was no Santa Claus. Author Francis Church told her

“Virginia, your little friends are wrong. They have been affected by the skepticism of a skeptical age. They do not believe except they see. They think nothing can be which is not comprehensible by their little minds.”

Alas, our task today is a sad one.  This blog explains to Virginia why there are no Chinese Walls in finance.

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 I have a confession to make that is risky for a risk manager.  I worked for three financial institutions with more than 30,000 employees each, and every one of them effectively failed. I worked at Lehman Brothers in Tokyo from 1984 to 1987. We all know the story of Lehman’s 2008 demise thanks to Lawrence G. McDonald’s fine book A Colossal Failure of Common Sense.  First Interstate, where I was senior vice president for funding from 1984 to 1987, was forced into a merger with Wells Fargo in the mid-1990s.  Finally, Security Pacific, where I worked from 1977 to 1982 on interest rate risk management, was swallowed up by Bank of America in 1992 in the least equal “merger of equals” in the history of mergers and acquisitions.

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Today’s forecast for U.S. Treasury yields is based on the August 19, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm August 20, 2010.  The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.

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Today’s forecast for U.S. Treasury yields is based on the August 12, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm August 13, 2010.  The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.

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