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
President, Asia Pacific Operations
Phone: +65.6818.6336

Australia, 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

Tokyo, Japan
3-6-7 Kita-Aoyama, Level 11
Minato-ku, Tokyo, 107-0061 Japan
Toshio Murate
Phone: +03.5778.7807

Visit Us
Linked In Twitter Seeking Alpha

Careers at Kamakura
Technical Business Consultant – ASPAC
Asia Pacific Region
Business Consultant – ASPAC
Asia Pacific Region

Consultant
Europe

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

 

 Archive
kamakura blog
   
  

Today’s forecast for U.S. Treasury yields is based on the May 12, 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 May 13, 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

Read More »

On Tuesday, we looked at the volume of trading in sovereign credit default swaps by dealers and non-dealers as reported by the Depository Trust and Clearing Corporation. The surprising conclusion was that the 20 sovereign names on which trading was reported by DTCC had only 1-10 contracts traded daily by non-dealers. In today’s blog, we look at trading in the corporate names reported by DTCC.

Read More »

When people buy a used car in the United States, they often consult prices paid by thousands of others for the same model car that they are considering.  Kelly Blue Book  is a common source for this kind of information.  Another alternative that is much less informative is the prices that have been paid on one used car dealer’s lot.  When it comes to the recent near-hysteria in the credit default swap market about Greece and other sovereigns, we need to analyze the volume and sources of information we’re getting on credit default swap quotations. Is the sovereign CDS market the equivalent of the Kelly Blue Book for used cars, with thousands of quotations? Or is it just a few quotes from the equivalent of one used car lot? That is the subject of today’s blog.
 

Read More »

Today’s forecast for U.S. Treasury yields is based on the May 5, 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 May 6, 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
 

Read More »

This post is a summary of my comments at the London meeting of the International Association of Credit Portfolio Managers.  Since it was a pre-dinner speech and the cocktail hour preceded it, we cut the quantitative stuff and stick to the fun stuff.
 

Read More »