Search My Blog
 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

 Connect
 Now Available

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

 Contact Us

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, Asia
Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

Visit Us

Linked In Twitter Seeking Alpha

Careers at Kamakura
Consultant
Europe

Kamakura Risk Manager Data Expert
Europe, North America, Asia & Australia

Client Relationship Managers
North America

 Archive
  

Kamakura Blog

  

A Case Study of Yingli Solar Using KRIS Default Probabilities
May 19, 2016

The objective of this write-up is to showcase how the Kamakura Risk Information Services (“KRIS”) default probabilities subscription service assists users to manage exposure ingress and egress based on Kamakura Default Probabilities (“KDP”) movements.

Read More »

Donald R. van Deventer and Suresh Sankaran
April 25, 2016

The International Financial Reporting Standard (“IFRS”) 9 and the Financial Accounting Standard Board’s (“FASB”) Current Expected Credit Loss (“CECL”) model significantly raise the accuracy bar for valuation and credit risk analytics for all organizations who report under their aegis.

Read More »

Over the last 18 months, the dramatic fall in oil prices has triggered a dramatic widening of credit spreads and default probabilities for oil-related firms. To a slightly lesser degree, the same kind of macro factor sensitivity in the credit spreads and default probabilities in firms closely associated with other basic commodities. This note explains the “reduced reduced form” modeling approach used in Kamakura’s KRIS default probability service to link forward looking macro factors to simulated default probabilities. We refer readers interested in more detail to the recent note from Kamakura “Bank of America and CCAR 2016 Stress Testing: A Simple Model Validation Example” and the references at the end of this note.

Read More »

The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance and helpful conversations on this critical topic.

During the recent financial crisis, a large number of financial services firms failed and a still larger number of them would have failed without government assistance. The Kamakura Public Firm Default Probabilities Technical Guide (Jarrow et al, June, 2015) for the Kamakura Risk Information Services default probability service shows that the number of failed financial services firms in the recent credit crisis was very significant:

Read More »

«previous next»