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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: +

Tokyo, Japan
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 take a third look at the bonds of another iconic American industrial company, Intel Corporation (INTC), ranked 8th on Forbes’ ranking of the world’s most valuable brands. We first reviewed Intel Corporationon October 2, 2013 and followed up with a second analysis on February 4, 2014. We seek to bring a more intense bond market perspective to the outlook for Intel Corporation in today’s analysis. Today’s note incorporates Intel Corporation bond price data as of June 16, 2014.

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We last analyzed the bond market view of American Express Company (AXP) on August 8, 2013. In this note, we use the bond market data for the most heavily traded American Express Company legal entity, American Express Credit Corporation, to analyze the risk and return of American Express-related bonds, the dividend, and the status of the “investment grade” ranking on American Express Company under the modern Dodd-Frank definition. We use bond trade data for June 13, 2014 to draw our conclusions. We note that there was also trading on that day for American Express Company itself and for American Express Centurion Bank, but we postpone an analysis of those bonds for another day. American Express Credit Corporation issued $1.675 billion of 3 year notes on June 2, 2014.

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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 3.382% to 5.631% in 10 years, up 0.06% from last week. Mortgages tend to react with an erratic lag to changes in Treasury market conditions. Here are the highlights of this week's implied forecast: 

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Bank of America Corporation (BAC) was the most heavily traded corporate name in the U.S. fixed rate bond market on June 10. Bank of America Corporation was the only non-sovereign reference name in the top 20 reference names by trading volume in the credit default swap market last week as well. We last analyzed default risk at Bank of America Corporation on March 7, 2014. In a July 8, 2013 post, we also reported on an extensive May 25, 2011 analysis of the credit crisis history of consolidated Bank of America borrowings (including borrowings of Countrywide Financial and Merrill Lynch) from the Federal Reserve and the events leading up to those borrowings.

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In this note we analyze the current levels and past history of default probabilities for Kinder Morgan Energy Partners, L.P. (KMP), one of the largest publicly traded pipeline master limited partnerships in America. We compare these default probabilities to the credit spreads on secondary market trading in Kinder Morgan Energy Partners, L.P. bonds on Tuesday, June 10, 2014. In this note, we illustrate the opportunities for investors who believe modern statistical methods out-perform legacy agency ratings, as proven by the rapidly accumulating published research.

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