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 About Donald

Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading edge financial theory to solve critical financial risk management problems. Don was elected to the 50 member RISK Magazine Hall of Fame in 2002 for his work at Kamakura. Read More

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

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Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com

Americas, Canada
James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895

Asia, Pacific
Clement Ooi
Managing Director, ASPAC
Phone: +65.6818.6336

Austrailia, New Zealand
Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

Europe, Middle East, Africa
Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

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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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