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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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On February 21, 2012, the Journal of Investment Management announced the winners of the Harry M. Markowitz award for the best paper of 2011 in the Journal of Investment Management.  Four Nobel Prize winners, including Robert C. Merton, awarded the prize to John Y. Campbell (Harvard University), Jens Hilscher (Brandeis University and Senior Research Fellow at Kamakura Corporation) and Jan Szilagyi (Hawker Capital LLP) for their paper “Predicting Financial Distress and the Performance of Distressed Stocks.”  More than any other event, this award marks the definitive end to the debate about whether or not reduced form models are superior to the Merton model of risky debt.  This blog explains why.

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Today’s forecast for U.S. Treasury yields is based on the February 23, 2012 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Standard Time February 24, 2012. 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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This blog entry originally appeared in the BankThink column on www.americanbanker.com on February 20, 2012. In a recent BankThink post challenging the rationale behind the Volcker rule, Richard E. Farley suggests that not a single bank collapsed because of proprietary trading in the last crisis.

Preposterous.

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Today’s forecast for U.S. Treasury yields is based on the February 16, 2012 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Standard Time February 17, 2012. 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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Today’s forecast for U.S. Treasury yields is based on the February 9, 2012 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Standard Time February 10, 2012. 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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