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Kamakura Blog: Observations on the Monoline Meltdown
A Happiness Survey of Risk Managers
Basic Building Blocks of Yield Curve Smoothing, Part 12: Smoothing with Bond Prices as Inputs
An Appreciation: Sebastián Piñera, President-Elect of Chile
Last week the Securities and Exchange Commission proposed a series of regulations designed to enhance the ability of money market funds to avoid the kind of runs that we saw in September 2008 after the bankruptcy of Lehman Brothers. The proposals miss one key point—runs are triggered when the true net asset value of the fund is less than the magic “buck” of $1.00. This post explains why. Read More »
Last week the Securities and Exchange Commission proposed a series of regulations designed to enhance the ability of money market funds to avoid the kind of runs that we saw in September 2008 after the bankruptcy of Lehman Brothers. The proposals miss one key point—runs are triggered when the true net asset value of the fund is less than the magic “buck” of $1.00. This post explains why.
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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. Read More »
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.
A recent story on Reuters outlined upcoming remarks by Elizabeth Warren, chairman of the Congressional Oversight Panel of the Troubled Asset Relief Program, urging creation of a Consumer Financial Protection Agency to protect borrowers from wicked and evil bankers bearing loans that the consumers can’t possibly repay. Is such an agency necessary? We look at both sides of the story. And by the way, where is the Consumer Anti-Tobacco Protection Agency? Read More »
A recent story on Reuters outlined upcoming remarks by Elizabeth Warren, chairman of the Congressional Oversight Panel of the Troubled Asset Relief Program, urging creation of a Consumer Financial Protection Agency to protect borrowers from wicked and evil bankers bearing loans that the consumers can’t possibly repay. Is such an agency necessary? We look at both sides of the story. And by the way, where is the Consumer Anti-Tobacco Protection Agency?
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. Read More »
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.
Mr. T asks from Asia how to analyze a structured credit like the ING-organized Value Master 2008-1 deal, launched in the middle of last year. This brief post points out the key risk factors in the deal, and structured credits in general, as a guide to potential investors. Read More »
Mr. T asks from Asia how to analyze a structured credit like the ING-organized Value Master 2008-1 deal, launched in the middle of last year. This brief post points out the key risk factors in the deal, and structured credits in general, as a guide to potential investors.
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