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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

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Toshio Murate
Phone: +03.5778.7807

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Kamakura Blog


One of the most frequently asked questions when people review predictive models of default is this: “Aren’t those explanatory variables correlated, and doesn’t this create problems with multi-collinearity?” Since almost every default model has correlated explanatory variables, this is a question that comes up often. Since I am not an econometrician (although many of my colleagues are), this post collects quotes on this issue from nine popular econometrics texts (it was a 3 day weekend in the USA) to answer this question.

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Z-man, senior Regional Banker, pointed out this quote from Donald Sull, faculty director of executive education at the London Business School, "My own sense is that we’ve got a lot of heroes of the last war still running around," he says. "[A bank] CEO is always a hard job, [but] it’s a much easier job when you’ve got a lot of tailwind. I think a lot of the current CEOs confused tailwind for horsepower." Institutional Investor, April 9, 2009.

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