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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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Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com

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In Part 4 of our series on the basic building blocks of yield curve smoothing, we tweak our constraints on the “best” yield curve and find that our criterion for best implies linear segments for both yields and forwards.  We compare the results to the popular but flawed Nelson-Siegel approach and gain insights on how to further improve the realism of our smoothing techniques, a step forward we will make in part 5 of this series. 

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In this installment of our yield curve smoothing series, we choose a common definition of “best” yield curve or forward rate curve and a simple set of constraints. We derive from our definition of “best” and the related constraints the fact that the “best” yield curve in this case is stepwise constant yields and forward rates.  We then show that even this simplest of specifications is more accurate and “better” by our definition that the popular but flawed Nelson-Siegel approach. 

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Here are the largest claims filed against Lehman Brothers in bankruptcy proceedings as of November 18, 2009.

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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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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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