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 About Donald

Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading edge financial theory to solve critical financial risk management problems. Don was elected to the 50 member RISK Magazine Hall of Fame in 2002 for his work at Kamakura. Read More

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An Introduction to Derivative Securities, Financial Markets, and Risk ManagementAdvanced Financial Risk Management, 2nd ed.

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Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898

Americas, Canada
James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895
Asia, Pacific
Clement Ooi
President, Asia Pacific Operations
Phone: +65.6818.6336

Australia, New Zealand
Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

Europe, Middle East, Africa
Jim Moloney
Managing Director, EMEA
Phone: +

Tokyo, Japan
3-6-7 Kita-Aoyama, Level 11
Minato-ku, Tokyo, 107-0061 Japan
Toshio Murate
Phone: +03.5778.7807

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Asia Pacific Region
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Kamakura Blog


The Case-Shiller home price index for Los Angeles has shown some of the most dramatic variation of any of the metropolitan statistical areas covered by the S&P-branded index.  The Los Angeles home price index, as of February's data reported yesterday, is now 40.4% below its peak.  Many analysts have noted that in many MSAs the pace of the decline seems to be decelerating.  More important, there's other evidence that we're near the floor on prices.  This post explains why.

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On April 24, 2008, the Board of Governors of the Federal Reserve System released a 21 page description of its stress tests for the top 19 banks in the U.S.  This program, "The Supervisory Capital Assessment Program: Design and Implementation," is a large step forward from the Fed's 1993 retreat from tying bank capital levels to stress tests of a 200 basis point shift in yield curves.  Still the SCAP program doesn't meet the standards of the FDIC's loss distribution model (published December 10, 2003 by Kamakura's Robert A. Jarrow and four co-authors) nor the standards of our April 27, 2009 post on a pass-fail test for bank CEOs and Board members.  Given the tight time deadlines for SCAP, this is not surprising and we have a lot of sympathy for the compromises that were necessary.  This post talks about how to move forward from here, how to make SCAP consistent with best practice and emerging best practice in risk management.

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The credit crisis of 2007-2009 has prompted many members of senior management and members of the Board of Directors to ask this simple question: Am I getting the risk management information and analysis that is necessary to protect my institution?  For a wide array of institutions, the answer to this question is a simple one: No.  This blog post lists four simple questions to determine whether or not your institution is providing best practice risk information to the CEO and the Board, and it explains the reasons that these four questions are so important.

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Twice a year, 20 to 30 of the best risk managers in North America gather to compare notes on the state of the risk business.  These experts have 20 to 30 years experience each, typically 10-15 years more experience than the miscreants who securitized subprime mortgages and mispriced collateralized debt obligations.  They care about the shareholders and depositors of their institutions, not their next bonus. The ground rules of the session are simple--it's a peer to peer exchange with nothing for attribution.  In that spirit, on a no names basis, we pass on some of their thoughts in this post.

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Kamakura's Andrew Cowton, based in Melbourne, passed on a question from a reader who asks, "Is cash flow at risk a concept that successfully avoids the problems outlined in the Kamakura blog post from April 6, 2009 "Is your Value at Risk from Value-at-Risk? Beware..."?  The answer is "yes," if one does it right, but many, many people do it wrong.  We invoke a key slogan from Bill Clinton's successful challenge of President George H.W. Bush to show what it takes to get it right in this post.

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