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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

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Today’s forecast for U.S. Treasury yields is based on the July 22, 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 July 23, 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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One of the most interesting set of cultural differences I have come across in finance is the difference between investment managers and bankers. One could write 100 books and 2 million jokes about those differences, but this blog has a more modest ambition: to show how to improve fixed income performance attribution in both investment management and in banking by combining best practice from both types of institutions.  This blog is an introduction to that topic.

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Today’s forecast for U.S. Treasury yields is based on the July 15, 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 July 16, 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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The derivatives industry has gone through some dramatic changes in its views of the links between credit default swap spreads and default probabilities. One of the difficulties in understanding these links is the power of “conventional wisdom,” i.e. the perception of what others think, to obscure important strengths and weaknesses of the conventional approach.  We saw this most clearly in the 2007-2010 credit crisis, when the widely used copula method resulted in massive losses because it ignored the impact of the movement of home prices on CDO valuation.

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Today’s forecast for U.S. Treasury yields is based on the July 8, 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 July 9, 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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