KAMAKURA CORPORATION
Kamakura Corporation is the world’s leading provider of risk management solutions – software, information and consulting – because successfully managing financial risk while meeting regulatory requirements demands industry-leading research, sound analytics, fully integrated applications, flawless execution and quantifiable results.
ABOUT US
KAMAKURA CORPORATION
Kamakura Corporation is the world’s leading provider of risk management solutions – software, information and consulting – because successfully managing financial risk while meeting regulatory requirements demands industry-leading research, sound analytics, fully integrated applications, flawless execution and quantifiable results.
ABOUT US
KAMAKURA CORPORATION
Kamakura Corporation is the world’s leading provider of risk management solutions – software, information and consulting – because successfully managing financial risk while meeting regulatory requirements demands industry-leading research, sound analytics, fully integrated applications, flawless execution and quantifiable results.
ABOUT US
KAMAKURA TROUBLED COMPANY INDEX
The Kamakura Troubled Company Index® measures the percentage of 40,500 public firms in 76 countries that have an annualized one- month default risk of over one percent.
DAILY
Kamakura Default Probabilities versus
Legacy Ratings
Kamakura Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
NEWS & PRESS RELEASES
Kamakura Weekly Forecast, October 15, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical information. https://seekingalpha.com/article/4437074-us-treasury-yields-the-10-year-probabilities What a sophisticated better needs to know is...
A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through September 30, 2021
Donald R. van Deventer[1] First Version: October 12, 2021 This Version: October 13, 2021 ABSTRACT Please note: Kamakura Corporation term structure models are updated monthly. For the most recent set of coefficients, contact info@kamakuraco.com A PDF version of the...
Kamakura Weekly Forecast, October 8, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical information. https://seekingalpha.com/article/4437074-us-treasury-yields-the-10-year-probabilities What a sophisticated better needs to know is...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through September 30, 2021
Donald R. van Deventer[1] First Version: October 6, 2021 This Version: October 6, 2021 ABSTRACT Please note: Kamakura Corporation term structure models are updated monthly. For the most recent set of coefficients, contact info@kamakuraco.com This paper analyzes the...
Kamakura Weekly Forecast, October 1, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical information. https://seekingalpha.com/article/4437074-us-treasury-yields-the-10-year-probabilities What a sophisticated better needs to know is...
EVENTS
ASPAC KRM System Operational Training – FTP
26th November 2021
8:30am – 12:30pm SGT
ASPAC KRM System Operational Training – ALM
24th – 25th November 2021
8:30am – 12:30pm SGT
Kamakura ASPAC Webinar: Address ALM Risk Post-Pandemic
26th October 2021
10:30am – 12:00pm SGT
Kamakura at the National Association of Credit Managers Credit Congress
October 10-13 Kansas City, Mo.
May 19-21, 2021 IACPM Virtual Spring Conference
Fiscal and Monetary Stimulus. Worried About Unintended Consequences?
ARCHIVES
INDUSTRIES WE SERVE
Kamakura’s products provide asset managers, banks, insurance companies and other financial institutions around the world with a highly advanced, integrated, end-to-end system for managing credit risk, market risk, liquidity risk, and asset-liability management. These products are designed to provide management, boards of directors, shareholders and regulators with an accurate and comprehensive view of the total financial risk of the organization as well as tools to manage that risk.
We serve the world’s most sophisticated banks, insurance companies, asset managers, pension funds, and Central banks and regulators.
PROBLEMS WE SOLVE
Asset Liability Management
Credit Portfolio Analysis and Default Probabilities
IFRS 9 and CECL
Market Risk
Credit Risk
Stress Testing
BLOGS
Donald R. van Deventer, Ph.D.
Martin Zorn currently serves as Kamakura's president and chief operating officer. In this role he oversees all day-to-day operations serving Kamakura risk management clients in 37 countries.
Sou-Cheng Choi, Ph.D.
Dr. Sou-Cheng T. Choi joined Kamakura as Chief Data Scientist on February 1st, 2020. Dr. Choi previously served as the Principal Data Scientist and Lead Researcher in Machine Learning for the automotive and life innovation groups at AllState.
Kamakura Weekly Forecast, October 15, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Public Funds Have Become More Complicated
Over the past several years the changes in regulations have transformed the landscape for public funds. On the one hand it has...
GAIL—Guaranteed Automatic Integration Library in MATLAB: Documentation for Version 2.3
Authors: Sou-Cheng T. Choi, Yuhan Ding, Fred J. Hickernell, Lan Jiang,Lluís Antoni Jiménez Rugama, Da Li, Jagadeeswaran...