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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

Andrew Zippan
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Phone: 647.405.0895

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Phone: +65.6818.6336

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Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

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Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

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kamakura blog
   
  

At a major risk management conference in Geneva in December 2002, Nobel Prize winner Robert C. Merton told this story before an audience of 400 risk experts:

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Today’s forecast for U.S. Treasury yields is based on the January 24, 2013 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 January 25, 2013. 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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This blog is the last in a series analyzing the trading volume in single name credit default swaps for the 129 weeks ended December 30, 2012.  In this blog, we focus on trading in 946 non-bank corporate reference names.  We find that only one corporate averaged more than five non-dealer trades per day over the 129 week period studied.

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On January 18, 2012 we reviewed trading volume in credit default swaps for non-U.S. banking firms for the 77 weeks ended December 30, 2011. This blog updates that analysis for the 129 weeks ended December 30, 2012.  We confirm our earlier results that there is minimal end-user trading in single name credit default swaps on the international banking sector.

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Today’s forecast for U.S. Treasury yields is based on the January 17, 2013 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 January 18, 2013. 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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