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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

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Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
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My brief task today is to introduce our guest blogger Brian Ranson.  Brian has been a respected credit risk management expert and pioneer in the use of quantitative default probabilities instead of legacy agency ratings.  After a long career at the Bank of Montreal, he then spent many years as advisor to sophisticated financial institutions at one of the major rating agencies.  Read on, and enjoy!

Donald R. van Deventer
Honolulu, Hawaii
March 17, 2010

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Guest author: Bob Selvaggio, with an introduction by Donald R. van Deventer

My role today is very brief: to introduce today’s guest author Dr. Robert Selvaggio. Bob asked me to describe him this way: “Bob is a long-time NYC bank and insurance company risk manager," but that’s far too self-effacing.  Bob has been one of the most respected risk managers in the United States for more than 20 years.  What follows are Bob’s personal opinions and not those of his employer. 

Donald R. van Deventer

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Today’s fraud charges by the State of New York against former Bank of America CEO Ken Lewis prompted me to think about how people have tolerated the last three years of crisis, particularly risk management experts.  That’s the subject of today’s post.

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This quote has been added to our May 22, 2009 "Great Quotations" blog entry, but it hits so close to home we repeat it here.

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In part 10 of this series on yield curve smoothing, we included the maximum smoothness forward rate approach in our comparison of 23 different smoothing techniques, both in terms of smoothness and “tension” or length of the resulting forward and yield curves.  In each of our worked examples, we showed how to derive unique forward rate curves and yield curves based on the same set of sample data.  This sample data assumed that we had observable zero coupon yields or zero coupon bond prices to use as inputs.  At most maturities, this will not be the case and the only observable inputs will be coupon-bearing bond prices.  In this post, we show how to use coupon-bearing bond prices to derive maximum smoothness forward rates and yields.  The same approach can be applied to the 22 other smoothing techniques summarized in Part 10 of this series.

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