By Donald van Deventer on
11/18/2009 9:23 AM
Here are the largest claims filed against Lehman Brothers in bankruptcy proceedings as of November 18, 2009.
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By Donald van Deventer on
11/13/2009 12:47 PM
A new feature on the Kamakura Risk Information Services public firm default probability service compares actual and “implied” credit ratings for more than 1953 rated public firms around the world. KRIS also has implied ratings for the 25,050 firms on KRIS without traditional agency ratings. This blog explains how to use this new tool for more accurate assessment of the risk of public firms around the world.
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By Donald van Deventer on
11/11/2009 9:54 AM
Robert A. Jarrow1 and Donald R. van Deventer2
In September 2009, the Society of Actuaries released a paper entitled “The Financial Crisis and Lessons for Insurers” by Robert W. Klein, Gang Ma, Eric R. Ulm, Shaun Wang, Xiangjing Wei, and George Zanjani. All readers of this paper should read the full paper because it’s an excellent summary of the issues involved. The full text of this paper is available via this link to the Society of Actuaries website: http://soa.org/files/pdf/research-2009-fin-crisis.pdf.
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By Donald van Deventer on
11/10/2009 12:41 PM
In Part 1 of our series on the basic building blocks of yield curve smoothing, we listed 13 different approaches one could take to smoothing yields or forward rates. In this installment, we talk about how the definition of “best” yield curve or forward rate curve and the constraints one imposes on the resulting yield curve implies the mathematical function that is “best.” This is the right way to approach smoothing. The wrong way to approach smoothing is the exact opposite: choose a mathematical function from the infinite number of functions one could draw and argue qualitatively why your choice is the “right one.” In this post, we discuss the definition of “best” yield curve and the constraints commonly placed on the smoothing process.
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By Donald van Deventer on
11/5/2009 11:11 AM
More than 100 people gathered in New York on Wednesday for an excellent conference organized by Structured Credit Investor. I was a panelist for a session on risk management in the structured products business. Because the conference was “off the record,” I am sorry that I can only pass on my own remarks and not the more intelligent insights of my fellow panelists.
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