Kamakura's risk management tools and counsel are built on a foundation of research that is:

  • Ongoing
  • Unrivaled
  • Extensive
  • Peer reviewed

Resources from our experts:
New Research!

Simulating and Validating a Multi-Factor Heath, Jarrow and Morton Model with Negative Interest Rates
by Robert A. Jarrow  and Donald R. van Deventer

"A Best Practice Approach to Modelling Sovereign Defaults" by Donald R. Van Deventer, Suresh Sankaran and Clement OOI

"Forward Curve Smoothing" by Robert Jarrow

"Fiscal Consolidations and Bank Balance Sheets" by Jacopo Cimadomo, Sebastian Hauptmeier and
Tom Zimmermann

"A Generalized Multiple-Factor Asset Pricing Model" by Robert Jarrow

"The Zero-Lower Bound on Interest Rates: Myth or Reality?" by Robert Jarrow

"Problems with Using CDS to Infer Default Probabilities" by Robert Jarrow

"The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates" by Robert Jarrow and Hao Li

"Governance Risk and Compliance (GRC) - Appreciating the Enigma Around It" by Suresh Sankaran, from Asian Banking and Finance

"A Gold Bubble?" by Robert Jarrow, Younes Kchia, and Philip Protter

"Risk Management Models: Construction, Testing, Usage" by Robert Jarrow

"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt" by Jens Hilscher & Yves Nosbusch

Financial Derivatives Pricing: Selected Works of Robert Jarrow

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