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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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Today’s forecast for U.S. Treasury yields is based on the October 25, 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 Daylight Time October 26, 2012. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.

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The first edition of Advanced Financial Risk Management was published eight years ago. My Kamakura colleagues and co-authors Kenji Imai and Mark Mesler and I were very pleased when our friends at John Wiley approached us about a dramatically revised second edition in light of the credit crisis.  The revised book is now in the hands of the production crew at John Wiley, and we thought it would be helpful to give you a preview of the book well in advance of its forecast publication date.  That forecast, by the way, is for April Fool’s Day, 2013.

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Today’s forecast for U.S. Treasury yields is based on the October 18, 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 Daylight Time October 19, 2012. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.

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Today’s forecast for U.S. Treasury yields is based on the October 11, 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 Daylight Time October 12, 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 is the last in a series analyzing the trading volume in single name credit default swaps for the 103 weeks ended June 29, 2012.  In this blog, we focus on trading in 932 non-bank corporate reference names.  We find that only one corporate averaged more than five non-dealer trades per day over the 103 week period studied.

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