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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

Americas, Canada
James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895
Asia, Pacific
Clement Ooi
President, Asia Pacific Operations
Phone: +65.6818.6336

Australia, New Zealand
Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

Europe, Middle East, Africa
Jim Moloney
Managing Director, EMEA
Phone: +

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3-6-7 Kita-Aoyama, Level 11
Minato-ku, Tokyo, 107-0061 Japan
Toshio Murate
Phone: +03.5778.7807

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Kamakura Blog


In this note we re-analyze the current levels and past history of default probabilities forWells Fargo & Company (WFC) updating the analysis previously reported on October 18, 2013. We compare Wells Fargo & Company default probabilities to credit spreads on 281 bond trades in 23 different bond issues on May 19, 2014 with a total trading volume of $87 million. We use this information to calculate the credit-adjusted dividend yield on Wells Fargo & Company common stock. We conclude with a relative value analysis and an assessment of Wells Fargo & Company’s investment grade status under the new Dodd-Frank Act definitions.

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We last analyzed J. C. Penney Company, Inc. (JCP) in August, 2013. In this note, we take another look at J. C. Penney Company, Inc., which operates its JCPenney stores through its wholly-owned subsidiary J. C. Penney Corporation, Inc. In this note we analyze the current levels and past history of default probabilities for J. C. Penney Company. J. C. Penney Company, Inc. issues bonds through its affiliate J. C. Penney Corporation, Inc., but J. C. Penney Company, Inc. is guarantor or co-obligor on the bonds. On May 16, 2014, 8 J. C. Penney Corporation, Inc. non-call fixed rate bonds were traded 542 times for $73 million in volume.

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  • Implied forward 15 year fixed rate mortgage rates in 2024 were up 0.05% from last week's projections.
  • The 15 year fixed rate mortgage rate is forecast to rise from an effective yield of 3.377% on Thursday to 5.662% in 10 years.
  • The market-implied risk-adjusted value of each 0.05% in net mortgage servicing rights on a $100,000 30 year mortgage fell 0.54% from last week.

Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgages this week show that the implied forward rates for 15 year fixed rate mortgages rise from a current effective yield of 3.377% to 5.662% in 10 years, up 0.05% from last week, despite the fall in long term Treasury yields this week.

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Bank of Nova Scotia (BNS), founded in 1832, is the third largest bank in Canada. Investors in North American financial institutions seem overly-focused on names like Bank of America (BAC), which has 20 times the retail following than Bank of Nova Scotia. That disparity often spells opportunity, so we ask the question, “What is the current bond market view of Bank of Nova Scotia?” Today’s study incorporates 40 May 14 bond trades on 11 U.S. dollar bonds issued by Bank of Nova Scotia with trading volume of $55.9 million. We use this bond price data to analyze the potential risk and return to bondholders and common shareholders of Bank of Nova Scotia.

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Telefonica, S.A. (TEF) is currently bidding 8.6 billion Euros for the German unit of Koninklijke KPN N.V. (KKPNY). The Spanish telecom giant is closely watched because of the ying and yang of a high dividend yield and a heavy burden of debt. What is the current bond market view of Telefonica, S.A.? Today’s study incorporates 72 May 12 bond trades on 9 U.S. dollar bonds issued by Telefonica Emisiones, S.A.U. with trading volume of $36.4 million.

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