By Donald van Deventer on 11/2/2009 10:53 AM

Our recent series on Nelson Siegel and other yield curve smoothing techniques has generated an enormous amount of interest. We’ve come to the conclusion that the art of constructing a yield curve deserves more attention than it’s gotten. This blog outlines
what we have planned and seeks your suggestions.

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By Donald van Deventer on 10/28/2009 11:45 AM

Throughout the 2007-2009 credit crisis, we’ve heard “too big to fail” over and over again.  Somewhat less frequently, we’ve heard “too small to succeed,” a phrase about those banks who were in trouble but not big enough to be rescued by the U.S. government.  What these troubled times call for are banks that are “Too smart to fail.”  This blog looks at what it takes to meet that standard.

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By Donald van Deventer on 10/27/2009 1:47 PM

The U.S. Treasury has just publicized a review of the Treasury’s methodologies for valuation warrants issued to the Treasury as compensation for the government rescues of distressed financial institutions.  Kamakura’s Managing Director for Research Robert A. Jarrow was retained by the Treasury to author this review.  We summarize Professor Jarrow’s insights and add comments in this blog.

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By Donald van Deventer on 10/22/2009 9:50 AM

Today’s blog is a request for help from our loyal readers. I am writing on behalf of my Harvard classmate and fellow director of Kamakura Corporation, Dean V. Vance Roley of the Shidler College of Business at the University of Hawaii.  We would like to call your attention to two very generous scholarships available to students from Japan for the Masters in Financial Engineering Program at the University of Hawaii. 

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By Donald van Deventer on 10/20/2009 1:09 PM

Joseph Tibman’s The Murder of Lehman Brothers is a great complement to Lawrence G. McDonald’s A Colossal Failure of Common Sense.  This blog is a reflection on Lehman and the points that Joe Tibman raises.

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