Authors from the North American Client Team: Warren A Sherman wandrewsherman@kamakuraco.com Mark Slattery...
2021: What Should I Do? Buy the Long Bond or Roll-over Treasury Bills?
The question posed in the title is one asked often by many sophisticated fixed income...
The Merton Default Model: As Good As It Gets?
[pdf-embedder url="https://www.kamakuraco.com/wp-content/uploads/2020/08/KRIS_Merton-v-Kamakura-Reduced-Form-08242020.pdf"...
The Valuation of Corporate Coupon Bonds
Abstract This paper proposes and estimates a tractable, arbitrage-free valuation model for corporate coupon bonds that includes...
A 10-Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2018: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
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, 2018
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
Corporate Debt Market Improves Kamakura Troubled Company Index Rises to 50th Percentile.
NEW YORK, March 4, 2018: The Troubled Company Index® ended February at 11.24%, a decrease of 0.63% from the end of January. So...
Kamakura: Short-Term Default Risk Improves. Kamakura Troubled Company Index Moves to 47th Percentile
NEW YORK, February 4, 2018: The Kamakura Troubled Company Index® ended January at 11.87%, a decrease of 3.27% from the end of...
RHB Banking Group Chooses Kamakura for NSFR
Singapore, January 7, 2019: Kamakura Corporation is pleased to announce that RHB Banking Group, (http://www.rhbgroup.com/), the...
A Quantitative Assessment of Errors from The Use of Credit Ratings in Credit Portfolio Management, Part 3: Credit Spreads
DOWNLOAD PDF Abstract This is the third of three attempts to justify the use of 158-year-old credit ratings in the credit...
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy
A Brief Introduction to the Links between Macro Factors and Default Probabilities: Exxon Mobil versus Diamondback Energy...