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    • Martin M. Zorn
    • Sou-Cheng Choi, Ph.D.
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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.

ARCHIVES

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Fat Tails, Transitory Inflation and the Credit Cycle

Oct 31, 2021 | News, Press Releases

Fat Tails, Transitory Inflation and the Credit Cycle Kamakura Troubled Company Index Declines by 0.03% to 3.40% Credit Quality...

Kamakura Weekly Forecast, October 29, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, October 29, 2021: U.S. Treasury Probabilities 10 Years Forward

Oct 31, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...

Kamakura Weekly Forecast, October 22, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, October 22, 2021: U.S. Treasury Probabilities 10 Years Forward

Oct 25, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...

A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model  For 13-Country `World’ Government Bonds,  Using Daily Data from January 1, 1962 through September 30, 2021

A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021

Oct 22, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: October 19, 2021 This Version: October 21, 2021   ABSTRACT Please note: Kamakura...

Kamakura Weekly Forecast, October 15, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, October 15, 2021: U.S. Treasury Probabilities 10 Years Forward

Oct 17, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...

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

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

Oct 13, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: October 12, 2021 This Version: October 13, 2021 ABSTRACT Please note: Kamakura...

Kamakura Weekly Forecast, October 8, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, October 8, 2021: U.S. Treasury Probabilities 10 Years Forward

Oct 10, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...

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

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

Oct 6, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: October 6, 2021 This Version: October 6, 2021   ABSTRACT Please note: Kamakura...

Kamakura Weekly Forecast, October 1, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, October 1, 2021: U.S. Treasury Probabilities 10 Years Forward

Oct 4, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...

Cassandra vs. Goldilocks

Oct 3, 2021 | News, Press Releases, Uncategorized

Cassandra vs. Goldilocks Kamakura Troubled Company Index Increases by 0.95% to 3.56% Credit Quality Remains Strong at the 99th...

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