Donald R. van Deventer's Blog

With the advances in software design and computer speeds of recent years, risk managers now have very powerful techniques for monte carlo simulation at their disposal. That being said, we find many shortcuts have been taken that can provide very misleading estimates of risk levels. This post explains how the misuse of monte carlo can prove that Augusta National is not a golf course and that the Grand Canyon does not exist.

Now You Tell Us: More Words of Wisdom from John Thain

By Donald van Deventer on 10/7/2009 10:14 AM

This incredibly interesting quote from John Thain has been added to our May 22, 2009 blog post on great quotations from the credit crisis!

Some banks' risk is higher than CDS implies-Kamakura

By Donald van Deventer on 10/6/2009 8:50 AM

Today www.reuters.com featured a story on the relationship between credit default swap spreads and default probabilities, a frequent topic on these blogs. Spreads represent the intersection of supply and demand for credit for that particular reference name. Spread-default probability relationships have changed dramatically over the 2007-2009 credit crisis, particularly for those firms where the senior debt holders have benefitted from government support. With permission, we reproduce the story by Karen Brettells of Thomson Reuters in full.

An Invitation from Nick Sawyer, Editor of RISK Magazine

By Donald van Deventer on 10/5/2009 10:59 AM

It's a pleasure to invite you to participate in an important poll of risk technology organized by RISK Magazine. This blog post contains the letter of invitation from Nick Sawyer, editor of RISK. We encourage all of our blog readers to participate in this important survey.

Donald R. van Deventer
Kamakura Corporation
Honolulu, October 5, 2009

Reduced Form Macro Factor and Roll Rate Models of Mortgage Default: An Introduction and Application

By Donald van Deventer on 10/1/2009 1:23 PM

As the credit crisis is subsiding, attention is turning to the different techniques used to model and simulate default rates for all classes of credits. There is a special interest in mortgage default models, however, because of the central role that mortgage defaults have played in the 2007 to 2009 credit crisis. This blog post discusses two different techniques for mortgage default modeling: reduced form macro factor modeling and roll rate modeling. We then apply both techniques to a dataset of mortgage defaults in the United States.

«previous next»

KeywordsPhrase