Kamakura 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.
Daily Comparison of KRIS Default Probabilities and Legacy Credit Ratings
Daily Comparison of KRIS Default Probabilities and Legacy Credit Ratings Legacy credit ratings were invented in 1860 (not a...
Daily Bond Market Update
For near-real time credit and risk management updates from Kamakura Corporation, please follow...
Transitory Risk. Kamakura Troubled Company Index Decreases by 6.54% to 7.57%.
Transitory RiskKamakura Troubled Company Index Decreases by 6.54% to 7.57%Credit Quality Improves to the 87th Percentile NEW...
$600 A Day for A Car Rental? Kamakura Troubled Company Index Decreases by 3.57% to 14.07%.
$600 A Day for A Car Rental? Kamakura Troubled Company Index Decreases by 3.57% to 14.07% Credit Quality At the 39th Percentile...
New Research Paper from Kamakura Proves 1-factor Interest Rate Risk Models Underestimate Risk by 61% to 83%.
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% Donald R. van Deventer[1] First...
Kamakura Releases New Multi-Factor Interest Rate Models for 13 Countries and World Government Bond Yields
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
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...
When Will Their Glory Fade? Kamakura Troubled Company Index Increases by 2.76% to 17.64%.
When Will Their Glory Fade? Kamakura Troubled Company Index Increases by 2.76% to 17.64% Credit Quality At the 29th Percentile...
Kamakura Troubled Company Index Increases by 4.44% to 19.67%. Credit Quality Declines to the 22nd Percentile.
Kamakura Troubled Company Index Increases by 4.44% to 19.67% Credit Quality Declines to the 22nd Percentile NEW YORK, February...
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...