Kamakura Releases New Multi-Factor Interest Rate Models for 13 Countries and World Government Bond Yields 1, 2, 3, 6 and “All”...
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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...
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...
AmBank Group implements Kamakura Risk Manager for Basel 3 LCR and NSFR
AmBank Group implements Kamakura Risk Manager for Basel 3 LCR and NSFR SINGAPORE, October 5, 2020: Kamakura Corporation, the...
When You Come To A Fork In The Road, Take It
When You Come To A Fork In The Road, Take It Kamakura Troubled Company Index Declines by 6.85% to 18.73% Credit Quality Improves...
Kamakura Corporation Names Don M. Griffith to Board of Directors
Kamakura Corporation Names Don M. Griffith to Board of Directors NEW YORK, July 20, 2020: Kamakura Corporation is pleased to...
The Silver Skates Of Default
The Silver Skates Of Default Kamakura Troubled Company Index Declines by 6.13% to 25.58% Credit Quality Improves to 13th...
Through A Glass Darkly
Through A Glass Darkly Kamakura Troubled Company Index Increases by 0.41% to 31.71% Credit Quality Remains at the 4th Percentile...
In the Land of Alpha, Default Term Structure Models are King
In the Land of Alpha, Default Term Structure Models are King. Authors from the North American Client Team: Eric Penanhoat...
The Merton Default Model: As Good As It Gets?
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The Best of Times?
The Best of Times? Kamakura Troubled Company Index Increases by 1.00% to 14.63% Credit Quality Declined Slightly to the 36th...