$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...
We’ll See
Kamakura Troubled Company Index Increases by 1.08% to 15.06% Credit Quality Declines to the 35th Percentile NEW YORK, January 4,...
Bull Trap or Sustainable Improvement?
Kamakura Troubled Company Index Decreases by 4.57% to 13.98% Credit Quality Improves to the 39th Percentile NEW YORK, December...
CLO COMBO NOTES:
EYES WIDE SHUT!
Authors from the North American Client Team: Warren A Sherman wandrewsherman@kamakuraco.com Mark Slattery...