Authors from the North American Client Team: Warren A Sherman wandrewsherman@kamakuraco.com Mark Slattery...
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An August To Remember
An August To Remember Kamakura Troubled Company Index Declines by 3.68% to 15.05% Credit Quality Improves to 35th Percentile NEW...
Kamakura Extends KRIS License with Man Numeric
Kamakura Extends KRIS License with Man Numeric NEW YORK, October 6, 2020: Kamakura Corporation, the global leader in advanced...
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...
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...