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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

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Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
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Phone: 215.932.0312

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Phone: +65.6818.6336

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Phone: +61.3.9563.6082

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Phone: +49.17.33.430.184

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Kamakura Blog

  

Over the last 18 months, the dramatic fall in oil prices has triggered a dramatic widening of credit spreads and default probabilities for oil-related firms. To a slightly lesser degree, the same kind of macro factor sensitivity in the credit spreads and default probabilities in firms closely associated with other basic commodities. This note explains the “reduced reduced form” modeling approach used in Kamakura’s KRIS default probability service to link forward looking macro factors to simulated default probabilities. We refer readers interested in more detail to the recent note from Kamakura “Bank of America and CCAR 2016 Stress Testing: A Simple Model Validation Example” and the references at the end of this note.

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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

During the recent financial crisis, a large number of financial services firms failed and a still larger number of them would have failed without government assistance. The Kamakura Public Firm Default Probabilities Technical Guide (Jarrow et al, June, 2015) for the Kamakura Risk Information Services default probability service shows that the number of failed financial services firms in the recent credit crisis was very significant:

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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

For a PDF copy of this note, click here.

On January 12, Kamakura Corporation released newly updated parameters for its best practice Heath Jarrow and Morton model for U.S. Treasuries.  Using the no-arbitrage conditions of Heath, Jarrow and Morton, the Kamakura suite of term structure models includes 1, 2, 3, 6 and 9 factor models of the U.S. Treasury curve under two different assumptions about interest rate volatility:

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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

Kamakura Corporation has released newly updated parameters for its best practice Heath Jarrow and Morton model for U.S. Treasuries. The suite of parameter sets includes the following roster of 10 models:

HJM Rate Dependent Volatility, 9 Factors (Best Practice)
HJM Rate Dependent Volatility, 6 Factors
HJM Rate Dependent Volatility, 3 Factors
HJM Rate Dependent Volatility, 2 Factors
HJM Rate Dependent Volatility, 1 Factor
HJM Constant Volatility, 9 Factors
HJM Constant Volatility, 6 Factors
HJM Constant Volatility, 3 Factors
HJM Constant Volatility, 2 Factors
HJM Constant Volatility, 1 Factors

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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

The Singapore Government Securities yield curve and its history is unique internationally for many reasons, but perhaps foremost among them is the pristine credit quality of the island nation. The website of the Monetary Authority of Singapore explains the background of the Singapore Government Securities market:

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