@KamakuraCo Twitter
 About Me
 Now Available

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

 Blog Entries

Kamakura Corporation Named to World Finance 100

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 22, 2014
International Business Machines: An Updated Bond Market Ranking

July 16, 2014
Transocean Ltd. Bonds: High Risk, Low Return

July 15, 2014
The Walt Disney Company Bonds: Very Low Default Risk at a “No Brand” Price

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

July 12, 2014
Banco Santander, S.A. Tops International Bank
Credit Default Swap Trading Volume, 2010 to 2014


July 11, 2014
Forward Fixed Rate Mortgage Yield Jumps 0.06% and Value of Mortgage Servicing Rights Drops This Week

July 10, 2014
J. C. Penney Leads Non-Bank Corporate Credit Default Swap Trading Volume

July 9, 2014
CDS Trading Volume for 1,206 Reference Names
For 207 Weeks Ended June 27, 2014


July 8, 2014
Hewlett-Packard Company Bonds: Default Risk Continues to Drop

July 3, 2014
Forward 1 Month T-Bill Rates Reverse Last Week’s Declines, Plateau Between 3.70% and 3.72% from 2021 to 2024

July 1, 2014
Kraft Foods Group Inc. Bonds: Under-rated, Low Risk and Solid Value

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...

 Archive
  

Kamakura Blog

  

As we noted in our May 16, 2011 blog on AIG, excellence in risk management and good corporate governance requires that financial institutions analyze their own probability of default. The proposed Basel III liquidity risk ratios are concrete symbols of the regulators’ focus on default risk. This blog analyzes the funding shortfalls at Bank of America during the credit crisis.

Read More »

Excellence in risk management and good corporate governance requires that financial institutions analyze their own probability of default. The proposed Basel III liquidity risk ratios are concrete symbols of the regulators’ focus on default risk. Liquidity risk is the symptom that a firm has some other severe disease, be it credit risk, market risk, interest rate risk, fraud or something else. Default becomes inevitable when it becomes apparent that an institution cannot liquidate its assets with sufficient speed or volume to meet cash needs from liabilities that have been withdrawn (in the case of deposits) or which will not be rolled over (commercial paper, bank lines, bonds, cancelled insurance policies and so on).  For an institution which hasn’t failed, data from institutions that have failed or which have had “near death experiences” usually provide more insights on liquidity risk that the institution’s own history of liability amounts and costs.

Read More »

This blog is part two in Kamakura’s chronology of the credit crisis of 2007-2009, one of the most important eras for the study of risk management.  This blog summarizes the events that Kamakura’s risk professionals judged to be important milestones as the United States and many other countries were consumed by the credit crisis.  Today’s blog begins just prior to the collapse of Bear Stearns and ends in March 2009, the last period for which the Federal Research made public its loans during the crisis. A few milestone events after March 2009 are included as well.

Read More »

As the credit crisis recedes into history, leaving only U.S. government deficits behind, it is important to record the credit crisis history before it’s lost.  This blog summarizes the events that Kamakura’s risk professionals judged to be important milestones as the United States was consumed by the credit crisis.  Today’s blog is part one of the credit crisis chronology, ending in February, 2008, just prior to the collapse of Bear Stearns.

Read More »

10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the May 12, 2011 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 pm May 13, 2011. 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.

Read More »

 Search