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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

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Toshio Murate
Phone: +03.5778.7807

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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 103 weeks ended June 29, 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 October 4, 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 5, 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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On January 10, 2012, we noted that a proposal to use credit default swaps to price deposit insurance (Financial Times, December 28, 2011) was completely impractical for two reasons: lack of volume and the fact that the riskiest banks were in fact CDS market makers. In this blog, we update our January 10, 2012 blog by reporting on credit default swap trading volume for all U.S. banks for the 103 weeks ending June 29, 2012.

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On January 11, 2012, we looked at weekly credit default swap trading volume for sub-sovereigns and municipals among 1,090 reference names that had traded in the 77 weeks ended December 30, 2011.  We found, unfortunately, that (in the words of Gertrude Stein) “there is no there there.” In this blog, we update our CDS volume analysis for sub-sovereigns and municipals for the 103 weeks ended June 29, 2012. Alas, our conclusion is unchanged.

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Today’s forecast for U.S. Treasury yields is based on the September 27, 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 September 28, 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.

Read More »