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An Introduction to Derivative Securities, Financial Markets, and Risk ManagementAdvanced Financial Risk Management, 2nd ed.

 Blog Entries

Kamakura Corporation Named to World Finance 100

July 30, 2014
American International Group Inc. Bonds:
A Reward to Risk Ratio Twice as High as the Median Bond Issue

July 29,2014
AT&T Inc. Bonds: Ten Times the Risk of IBM and Below Average Value

July 22, 2014
International Business Machines: An Updated Bond Market Ranking

July 16, 2014
Transocean Ltd. Bonds: High Risk, Low Return

July 15, 2014
The Walt Disney Company Bonds: Very Low Default Risk at a “No Brand” Price

July 15, 2014
Brazil, Italy, Spain, Credit Default Swaps and the
European Commission Short Sale Ban, 2010-2014

July 14, 2014
Bank of America and MBIA Lead U.S. Bank Credit Default Swap Trading Volume, 2010-2014

July 12, 2014
Banco Santander, S.A. Tops International Bank
Credit Default Swap Trading Volume, 2010 to 2014

July 11, 2014
Forward Fixed Rate Mortgage Yield Jumps 0.06% and Value of Mortgage Servicing Rights Drops This Week

July 10, 2014
J. C. Penney Leads Non-Bank Corporate Credit Default Swap Trading Volume

July 9, 2014
CDS Trading Volume for 1,206 Reference Names
For 207 Weeks Ended June 27, 2014

July 8, 2014
Hewlett-Packard Company Bonds: Default Risk Continues to Drop

July 3, 2014
Forward 1 Month T-Bill Rates Reverse Last Week’s Declines, Plateau Between 3.70% and 3.72% from 2021 to 2024

July 1, 2014
Kraft Foods Group Inc. Bonds: Under-rated, Low Risk and Solid Value

March 19, 2014
Stress Testing and Interest Rate Risk Models: A Multi-Factor Stress Testing Example

March 13, 2014
Stress Testing: A Credit Spread Ranking of 12 U.S. and 12 International Banks



Kamakura Blog


For Kamakura blog readers, it's a  pleasure to let you have advance warning that the Kamakura troubled company index declined again in a major way in June, dropping another 2.4% to 16.4%.  The index is now well below the March 2009 peak of 24.3.  The full details will be included in a press release on Tuesday, June 30.

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A number of financial institutions have written to say that they’ve linked macro factors to credit losses, but the next step in the process is unclear. Take the stock index 2 year return, a statistically significant macro factor in the version 3.0 KRIS default models, as an example. If one can predict credit losses as a function of this macro factor, what’s the hedge? Can one just short stock index futures? This post illustrates the answer with a simple example.

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