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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
info@kamakuraco.com

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James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
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Phone: 647.405.0895

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Clement Ooi
Managing Director, ASPAC
Phone: +65.6818.6336

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Phone: +61.3.9563.6082

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Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

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Kamakura Blog

  

Today’s forecast for U.S. Treasury yields is based on the January 12, 2012 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 p.m. Eastern Standard Time January 13, 2012. 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 January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust & Clearing Corporation and found that only one reference name in the world had averaged more than 10 non-dealer trades per day in the 77 weeks ended on December 30, 2011.  In today’s blog, the fifth in the CDS trading volume series, we look at weekly credit default swap trading volume for sovereigns among those 1,090 reference names.  We find that, in a small subset of sovereign names, there is regular trading, but in modest volume.

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On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust & Clearing Corporation and found that only one reference name in the world had averaged more than 10 non-dealer trades per day in the 77 weeks ended on December 30, 2011.  In today’s blog, the fourth in the CDS trading volume series, we look at weekly credit default swap trading volume for sub-sovereigns and municipals among those 1,090 reference names.  We find, unfortunately, that (in the words of Gertrude Stein) “there is no there there.”

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On December 28, Prof. Scott Richard published an article in the Financial Times advocating the use of credit default swap spreads in setting of deposit insurance rates. This letter to the editor explains why such an idea, attractive in theory, would be extremely dangerous in practice.

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On January 4, we showed that on average 81.68% of trades in credit default swaps in the trade warehouse of the Depository Trust & Clearing Corporation were trades between dealers.  In today’s blog, the second in the series, we look at weekly CDS trade data since the week ended July 16, 2010 for 1,090 reference names and find minimal “end user” trade volume for the overwhelming majority of those reference names.

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