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  • INDUSTRIES SERVED
    • Banking
    • Insurance
    • Asset Management
    • Corporate Treasury
  • SOLUTIONS
      • Kamakura Risk Manager (KRM)
            • Credit Risk
            • Net Income Simulation
            • Yield Curve Smoothing
            • Market Valuation
            • Value-At-Risk
            • Transfer Pricing

      • Kamakura Risk Information Services (KRIS)
            • Interest Rate and Yield Curve Data
            • Default Probabilities
            • CLO and Bond Analytics
            • Credit Portfolio Analysis
            • Troubled Company Index
            • KRIS Country Coverage
            • KRIS Macro-Factor Data Base
            • The Corporate Bond Investor for Individual Investors

  • RESEARCH
    • Research Library
  • BLOGS
    • Donald R. Van Deventer, Ph.D.
    • Martin M. Zorn
    • Sou-Cheng Choi, Ph.D.
  • COMPANY
      • Executive Profiles
      • Company Facts & Milestones
      • Careers
      • Leadership Team
      • Office Locations
      • Press Releases
  • CONTACT US

OTHER AUTHORS

  • Donald R. Van Deventer, Ph.D.
  • Martin M. Zorn
  • Sou-Cheng Choi, Ph.D.

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New Research Paper from Kamakura Proves 1-factor Interest Rate Risk Models Underestimate Risk by 61% to 83%.

Mar 29, 2021 | News, Press Releases

New Research Paper from Kamakura Proves 1-factor Interest Rate Risk Models Underestimate Risk by 61% to 83%. Both 1-factor and...

Model Validation: Proof that 1-factor Interest Rate Models  Underestimate Risk by 61% to 83%

Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%

Mar 24, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...

Kamakura Releases New Multi-Factor Interest Rate Models for 13 Countries and World Government Bond Yields

Mar 22, 2021 | News, Press Releases, Uncategorized

Kamakura Releases New Multi-Factor Interest Rate Models for 13 Countries and World Government Bond Yields 1, 2, 3, 6 and “All”...

Kamakura Corporation Releases Version 6 of Its Implied Ratings Model to Clients Worldwide

Mar 15, 2021 | Press Releases

Kamakura Corporation Releases Version 6 of Its Implied Ratings Model to Clients Worldwide NEW YORK, March 15, 2021: Kamakura...

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 December 31, 2020

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 December 31, 2020

Mar 11, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...

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