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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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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

The Spanish Government Bond yield curve and its history, along with data from Sweden, offer one of the most important laboratories for the study of interest rate movements among the prominent bond markets world-wide. The Spanish Government Bond history made available by the Banco de España begins in 1987, and the long history includes extended periods of very high rates, very low rates, and negative rates. The experience in Sweden offers a similar history. For that reason, the Heath Jarrow and Morton (“HJM”) analysis on Spanish Government Bonds provides another important benchmark for interest rate modeling in economies where the government yield history is not as rich as it is in Spain or Sweden.

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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

The Swedish Government Bond yield curve and its history offer one of the most important laboratories for the study of interest rate movements among the prominent bond markets world-wide. The Swedish Government Bond history made available by the Sveriges Riksbank begins in 1987, and the long history includes extended periods of very high rates, very low rates, and negative rates. For that reason, the Heath Jarrow and Morton (“HJM”) analysis on Swedish Government Bonds provides an important benchmark for interest rate modeling in economies where the government yield history is not as rich as it is in Sweden.

Read More »

The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

The Australia Commonwealth Government Securities yield curve and its history are a prime topic for risk management analysis, given the stock market chaos around the world and the relatively calm and peaceful evolution of interest rates in Australia. Is the yield curve for Commonwealth Government Securities unique and different compared to other markets, or does it exhibit the same basic interest rate characteristics? We answer that question in this note.

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The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

The German Bund yield curve and its history are critical components for the derivation and validation of interest rate risk models for asset and liability management, market risk, economic capital, interest rate risk in the banking book, stress-testing and the internal capital adequacy assessment process. There are some interesting contrasts between results for the German Bund yield curve analysis on a stand-alone basis and world-wide experience because the German Bund data set spans a fairly narrow range of rate levels and is a short data series by international standards.

Read More »

The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

The United Kingdom Government Bond yield curve and its history is a critical data set for the derivation and validation of interest rate risk models for asset and liability management, market risk, economic capital, interest rate risk in the banking book, stress-testing and the internal capital adequacy assessment process. The importance of the United Kingdom Government Bond market is not just due to its prominence among the world’s major fixed income markets.

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