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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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Phone: 215.932.0312

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Phone: 647.405.0895

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Phone: +61.3.9563.6082

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Phone: +49.17.33.430.184

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Kamakura Corporation is very pleased to report that we have substantially expanded our relationship with the team at Thomson Reuters.  Thomson Reuters began distributing a small subset of the Kamakura Risk Information Services default probabilities in 2009.  Beginning next week, KRIS default probabilities for the 1,700 public firms with traded credit default swaps will be available on the Reuters 3000 Xtra service, along with KRIS sovereign default probabilities for 100 countries.  This expanded service will allow subscribers to the Reuters 3000 Xtra service to make daily comparisons between credit default swap quotations from Reuters and Markit with the KRIS default probabilities.  This allows investors to make a fully informed judgment about whether the risk premiums implicit in CDS spreads are sufficiently high to induce the investor to provide credit protection on that corporate or sovereign credit.
 

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This is part 3 in a series on “balance sheet optimization.”  As we pointed out in the first two parts of the series, optimization in banking is a lot like building a software program to beat any human at chess. It’s very easy to talk about, and it’s very hard to do.  In the final installment in this series, we pose the kind of practical and realistic problem like the one former Citigroup CEO might have faced pre-credit crisis on December 31, 2006.  Like chess software, we talk about what’s practical and what’s not practical given the current state of knowledge in applied mathematics, computer hardware and enterprise risk management software.  We get the astrophysicists and physicists involved to keep it real.
 

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As explained in part 1 of this blog, last week I was asked to give a presentation to a group of senior bank risk managers on the state of the art in “balance sheet optimization.”  Optimization in banking is a lot like building a software program to beat any human at chess. It’s very easy to talk about, and it’s very hard to do.  In this installment of our optimization series, we start with a general framework for optimization of the balance sheet on a fully integrated risk basis—interest rate risk, market risk, and credit risk in a common framework.  We then look at how optimization is done in the funds management business.  Finally we turn to the existing types of optimization that are already common in high quality risk management systems.
 

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Last week I was asked to give a presentation to a group of senior bank risk managers on the state of the art in “balance sheet optimization.”  Today’s blog is part one of a summary of that talk.  For bankers, balance sheet optimization has a lot in common with building a software system that can beat any human being in chess.  It’s very easy to talk about, and it’s very hard to do.  This blog explains why.
 

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Today’s forecast for U.S. Treasury yields is based on the April 21, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm April 22, 2010.  The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com
 

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