By Donald van Deventer on
4/27/2012 12:20 PM
Today’s forecast for U.S. Treasury yields is based on the April 26, 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 Daylight Time April 27, 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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By Donald van Deventer on
4/20/2012 1:16 PM
Today’s forecast for U.S. Treasury yields is based on the April 19, 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 Daylight Time April 20, 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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By Donald van Deventer on
4/17/2012 2:27 PM
Basel II required that regulated institutions implement an “internal capital adequacy assessment process” (“ICAAP”) as part of the pillar 2 component of regulations promulgated by the Basel Committee on Banking Supervision. Even five years later, many thoughtful financial institutions risk managers have concerns about whether the approach followed by their institution for ICAAP can be improved. This blog summarizes some of the key areas in which common practice in interest rate risk management (and by logical extension the associated ICAAP) can be improved.
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By Donald van Deventer on
4/13/2012 12:32 PM
Today’s forecast for U.S. Treasury yields is based on the April 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 Daylight Time April 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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By Donald van Deventer on
4/10/2012 11:14 AM
In the wake of the credit crisis of 2006-2010, it is more obvious to the management, boards, and shareholders of major financial institutions that the legacy silo approach to risk management systems and risk management organization was simply ineffective in preventing the failure of some of the world’s most prominent financial institutions. A fully integrated enterprise risk management capability, which combines credit risk, market risk, asset and liability management, liquidity risk, performance management, and capital allocation, exists today. This integrated enterprise risk management technology operates at the individual transaction level to assess risk accurately from the bottom up for every organizational unit and for the firm as a whole. This blog presents a simple 10 point quiz that indicates whether your firm’s primary risk system is capable of playing this role.
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