In this report, we update the semi-annual Kamakura Corporation analysis of trading volume in single name credit default swaps as...
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Trends in Sovereign Credit Risk Assessment
The Asian Institute of Chartered Bankers has just published “A Best Practice Approach to Modeling Sovereign Defaults” in the...
The Fed’s CCAR Stress Testing: Big Banks and the Severely Adverse Scenario
The Federal Reserve’s 2015 Comprehensive Capital Analysis and Review stress testing exercise is moving toward its conclusion,...
American Express Leads Best Value Long Term Bond Trades
We last ranked the best value fixed rate corporate bond issues on October 17, 2014 for maturities of 20 years or more. Today we...
Stress Testing: The Use and Abuse of Lagged Default Probabilities in “Forbidden” Credit Models
As the Federal Reserve’s 2015 Comprehensive Capital Analysis and Review stress testing exercise moves to its conclusion, a...
Stress Testing: The Use and Abuse of “Intuitive Signs” on Credit Model Coefficients
In the past week, I have spoken with many regulators and bankers on the proper role of intuition in the econometric estimation...
Best Practice Model Validation for Stress-Testing Under the Fed’s CCAR 2015 Test Regime
On October 20, we noted that the Federal Reserve’s decried banks’ reliance on poor risk models. The Fed’s comments were...
U.S. Corporate Bond Statistics for October 21, 2014
Corporate bond trading activity on October 21 was led by Morgan Stanley (MS), the most heavily traded bond issuer on the day....
Forward 1 Month T-bill Rates Plunge Once Again, with Peak Down 0.17% at 3.11% in February, 2022
Forward 1 month T-bill rates fell again this week, dropping sharply at all but the very shortest maturities. The fall in implied...
Hewlett-Packard Company Bonds: Default Risk Drops Again
The dramatic announcement on October 5 that Hewlett-Packard Company (HPQ) would split in two has very important implications for...
Primary Fixed Rate Mortgage Yields Fall 0.06% and Mortgage Servicing Values Rise This Week
Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgages this week reflected the 0.06% fall in current 15...
Forward 1 Month T-bill Rates Fall Again, with Peak Down 0.10% at 3.39% in April, 2021
Forward 1 month T-bill rates fell again this week, dropping at every monthly maturity for the next 10 years. The fall in implied...