Chartis Research Report Ranks Kamakura Risk Manager (Fiserv KRM) Number 1 in the World
Brian Ranson on “If you don’t know where you are going……………”
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
My brief task today is to introduce our guest blogger Brian Ranson. Brian has been a respected credit risk management expert and pioneer in the use of quantitative default probabilities instead of legacy agency ratings. After a long career at the Bank of Montreal, he then spent many years as advisor to sophisticated financial institutions at one of the major rating agencies. Read on, and enjoy! Donald R. van Deventer Honolulu, Hawaii March 17, 2010 Read More »
My brief task today is to introduce our guest blogger Brian Ranson. Brian has been a respected credit risk management expert and pioneer in the use of quantitative default probabilities instead of legacy agency ratings. After a long career at the Bank of Montreal, he then spent many years as advisor to sophisticated financial institutions at one of the major rating agencies. Read on, and enjoy! Donald R. van Deventer Honolulu, Hawaii March 17, 2010
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Guest author: Bob Selvaggio, with an introduction by Donald R. van Deventer My role today is very brief: to introduce today’s guest author Dr. Robert Selvaggio. Bob asked me to describe him this way: “Bob is a long-time NYC bank and insurance company risk manager," but that’s far too self-effacing. Bob has been one of the most respected risk managers in the United States for more than 20 years. What follows are Bob’s personal opinions and not those of his employer. Donald R. van Deventer Read More »
Guest author: Bob Selvaggio, with an introduction by Donald R. van Deventer
My role today is very brief: to introduce today’s guest author Dr. Robert Selvaggio. Bob asked me to describe him this way: “Bob is a long-time NYC bank and insurance company risk manager," but that’s far too self-effacing. Bob has been one of the most respected risk managers in the United States for more than 20 years. What follows are Bob’s personal opinions and not those of his employer. Donald R. van Deventer
Today’s fraud charges by the State of New York against former Bank of America CEO Ken Lewis prompted me to think about how people have tolerated the last three years of crisis, particularly risk management experts. That’s the subject of today’s post. Read More »
Today’s fraud charges by the State of New York against former Bank of America CEO Ken Lewis prompted me to think about how people have tolerated the last three years of crisis, particularly risk management experts. That’s the subject of today’s post.
This quote has been added to our May 22, 2009 "Great Quotations" blog entry, but it hits so close to home we repeat it here. Read More »
This quote has been added to our May 22, 2009 "Great Quotations" blog entry, but it hits so close to home we repeat it here.
In part 10 of this series on yield curve smoothing, we included the maximum smoothness forward rate approach in our comparison of 23 different smoothing techniques, both in terms of smoothness and “tension” or length of the resulting forward and yield curves. In each of our worked examples, we showed how to derive unique forward rate curves and yield curves based on the same set of sample data. This sample data assumed that we had observable zero coupon yields or zero coupon bond prices to use as inputs. At most maturities, this will not be the case and the only observable inputs will be coupon-bearing bond prices. In this post, we show how to use coupon-bearing bond prices to derive maximum smoothness forward rates and yields. The same approach can be applied to the 22 other smoothing techniques summarized in Part 10 of this series. Read More »
In part 10 of this series on yield curve smoothing, we included the maximum smoothness forward rate approach in our comparison of 23 different smoothing techniques, both in terms of smoothness and “tension” or length of the resulting forward and yield curves. In each of our worked examples, we showed how to derive unique forward rate curves and yield curves based on the same set of sample data. This sample data assumed that we had observable zero coupon yields or zero coupon bond prices to use as inputs. At most maturities, this will not be the case and the only observable inputs will be coupon-bearing bond prices. In this post, we show how to use coupon-bearing bond prices to derive maximum smoothness forward rates and yields. The same approach can be applied to the 22 other smoothing techniques summarized in Part 10 of this series.
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