Chartis Research Report Ranks Kamakura Risk Manager (Fiserv KRM) Number 1 in the World September 3, 2010 Friday Forecast: 10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads August 27, 2010: Friday Forecast: 10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads August 23, 2010: Kamakura Blog: The Myth of Chinese Walls in Finance August 20, 2010: Kamakura Blog: Commercial Real Estate, Security Pacific, and Dead Bank Walking More...
In blog posts on August 3 and August 4, we discussed some key issues and examples of sovereign defaults. In this post, we compare the data, techniques and accuracy of sovereign and public firm default models. Modeling corporate default is much easier, at least in the short run. This post explains why. Read More »
In blog posts on August 3 and August 4, we discussed some key issues and examples of sovereign defaults. In this post, we compare the data, techniques and accuracy of sovereign and public firm default models. Modeling corporate default is much easier, at least in the short run. This post explains why.
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In our August 3 blog post, we discussed the key issues in modeling sovereign defaults. In this post, we show that the application of a “cross default” methodology to sovereign risk has a dramatic impact on the perceived timing of sovereign defaults. As Kamakura senior research fellow Jens Hilscher says, “Corporations default because they have to. Sovereigns default because they want to.” We explain the implications of that “desire to default” in this post. Read More »
In our August 3 blog post, we discussed the key issues in modeling sovereign defaults. In this post, we show that the application of a “cross default” methodology to sovereign risk has a dramatic impact on the perceived timing of sovereign defaults. As Kamakura senior research fellow Jens Hilscher says, “Corporations default because they have to. Sovereigns default because they want to.” We explain the implications of that “desire to default” in this post.
Many investors who, three years ago, would have said they had no exposure to sovereign risk now find themselves in a much different position. With the effective nationalization of large financial institutions in the U.S. and the United Kingdom, sovereign default risk is now a critical issue. This post explains the differences between modeling sovereign default and the default risk of more traditional retail and corporate counterparties. Read More »
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