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.
Kamakura’s Presentation to the 2022 IACPM Spring Conference
There is No Free Lunch: How Portfolio Managers Need to Adapt to a Shifting Macroeconomic Paradigm Martin Zorn May 19, 2022...
The Reduced Form Approach to SOFR Swap and Swaption Valuation
The Reduced Form Approach to SOFR Swap and Swaption Valuation Risk Americas, May 11, 2022 Robert A. Jarrow[1] and Donald R. van...
Kamakura Weekly Forecast, May 20, 2022: Peak in Treasury Forward Rates Down 0.20%
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The peak in forward rates underlying the U.S....
The Reduced Form Approach to SOFR Swap and Swaption Valuation
Robert A. Jarrow[1] and Donald R. van Deventer[2] Presentation to Risk Americas, May 11, 2022 This Version: May 19, 2022...
Kamakura Weekly Forecast, May 13, 2022: Forward Rates Rise to 4.34%
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Forward rates underlying the U.S. Treasury...
Kamakura Weekly Forecast, May 6, 2022: Forward Rates Rise Again
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Forward rates underlying the U.S. Treasury...
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 March 31, 2022
Donald R. van Deventer[1] First Version: April 15, 2022 This Version: May 2, 2022 ABSTRACT Please note: Kamakura Corporation...
Troubled Markets
Troubled Markets Kamakura Troubled Company Increases by 3.31% to 8.39% Credit Quality Declines to the 77th Percentile NEW YORK,...
Kamakura Weekly Forecast, April 29, 2022: Time Has Come Today
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The mood in fixed income markets, waiting for...
Kamakura Weekly Forecast, April 22, 2022: Sound and Fury Signifying Nothing?
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Treasury yields this week have seen some...
Kamakura Releases Seventh Generation Public Firm Default Probability Models
Kamakura Releases Seventh Generation Public Firm Default Probability Models KRIS 7.0 Based on 5 Years of Daily Cross-Validation...
Kamakura Weekly Forecast, April 14, 2022: Yield Levels and Shapes Look Like the Good Old Days
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward After a two-day inversion, U.S. Treasury yield...