Search My Blog
 About Donald

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

 Connect
 Contact Us

Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com

Americas, Canada
James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895

Asia, Pacific
Clement Ooi
Managing Director, ASPAC
Phone: +65.6818.6336

Austrailia, New Zealand
Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

Europe, Middle East, Africa
Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

Visit Us

Linked In Twitter Seeking Alpha
Careers at Kamakura

Consultant
Europe

Kamakura Risk Manager Data Expert
Europe, North America, Asia & Australia

Client Relationship Managers

North America

 Archive
kamakura blog
   
  

It is now widely recognized by financial institutions, corporate investors, insurance firms and regulators that an over-reliance on low-quality legacy credit ratings was a major contributor to the credit crisis of 2006 to 2011. The Levin Report (United States Senate, April 13, 2011, pages 243 to 317) summarizes these findings in detail.  How can investors of all types make the transition from legacy credit ratings to modern default probabilities? This blog summarizes a 10 step transition that is practical, detailed, and efficient in replacing the 100-year-old rating concept with best practice in credit assessment: modern default probabilities.

Read More »

Today’s forecast for U.S. Treasury yields is based on the November 21, 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 November 23, 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.

Read More »

Today’s forecast for U.S. Treasury yields is based on the November 15, 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 November 16, 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.

Read More »

On June 13, 2012, the Office of the Comptroller of the Currency published the final rules defining whether a security is “investment grade,” in accordance with Section 939A of the Dodd-Frank Act of 2010.  On its web page the OCC states, “Under the revised regulations, to determine whether a security is ‘investment grade,’ banks must determine that the probability of default by the obligor is low and the full and timely repayment of principal and interest is expected.”  This blog provides justification for the Dodd-Frank Act’s prohibition on using legacy credit ratings as the sole criterion for determining “investment grade” in Federal Regulations.  We find that one of the reasons for inaccuracy in legacy ratings is that fact that ratings are simply out of date. We report below that the median time since the last ratings change for 2,265 public firms is 815 days, nearly 2 years and 3 months.

Read More »

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

Read More »

«previous next»