Donald van Deventer

Donald van Deventer


Don is the founder & chairman of Honolulu-based risk management firm Kamakura Corporation. “Se freni, non vinci," Mario Cipollini (If you brake, you won’t win).

2118 followers  •  2470 follow  •    •   http://t.co/V4iHMTW0Qt

#CreditRatings were invented in 1860. Wouldn't it be better to use the default probabilities from KRIS, which take full advantage of the last 160 years of progress in #statistics  #economics  #datascience  and #computerscience ? #credit 

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Maximum smoothness forward rates and zero coupon yields consistent with par coupon government yield curves in 14 countries, updated daily. Series originate in 1962 (USA), 1974 (Japan) and 1979 (UK) #ALM  #IRRBB  #FRTB  inf @kamakuraco .com

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Among the riskiest public firms in the Latin America, there were 0 increases and 20 decreases in KRIS 1-year default probabilities today, via risk ratings #credit  #creditrisk  #creditratings  #bonds  #corporatebonds  #riskmanagement  #Brazil  #Peru  #Chile  #Argentina  #Mexico 

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PART 1: A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2019 #ALM  #FRTB  #FTP  #IRRBB  #ICAAP  #interestrates 

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Data for the prior business day show that the median number of days since a change in #creditratings  is now 1,165 days for non-sovereign rated entities. By contrast, KRIS updates default probabilities for 40,500 public firms, 5300 U.S. banks and 180 sovereigns every day #credit 

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PART 2: How big is the term premium in the US #Treasury  curve? Kamakura’s 500,000 scenarios 30 years forward show that the current zero-coupon yield curve is well below expected rate levels out to 30 years. 10-factor HJM model, daily data 1962-2020, $TLT #interestrates  #ALM 

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TODAY’S AVERAGE DEFAULT PROBABILITIES PER RATING GRADE. “Why is the correlation between legacy ratings & modern KRIS default probabilities so low?” (a) 160 years old (b) change every 1,165 days (c) no term structure (d) “bigger=better” & “issuer pays” bias #credit  #bonds 

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PART 3: Probability of negative 3-month #Treasury  bill rates 30 years forward. 500,000 scenarios, Kamakura 10-factor HJM model, daily data 1962-2019, stochastic volatility, $TLT #ALM  #interestrates  More at inf @kamakuraco .com

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Among the riskiest public firms in #China , #HongKong , #Japan , #Korea  and #Taiwan , there were 1 increase and 19 decreases in KRIS 1-year default probabilities today, via risk ratings #credit  #creditrisk  #creditratings  #bonds  #corporatebonds  #IFRS9  #riskmanagement  #Asia 

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PART 4: Distribution of empirical & risk neutral 3-month #Treasury  bill rates 1 year forward. 500,000 scenarios, 10-factor HJM model, daily data 1962-2020, stochastic volatility, $TLT #ALM  #interestrates  More at inf @kamakuraco .com

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John Gotti went to prison after fixing construction costs in New York. Lloyd Blankfein went to cocktail parties after fixing swaps.

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Goldman fined $120 million for rate rigging. LOCK THEM UP!

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#Muniland Most active week in the muni CDS market in recent memory, including first ever trade in State of #Maryland 

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This is one of the largest drops in credit quality since the index started in 1990:

Essential reading in #creditrisk  #riskmanagement  “So you want me do analyze data I don’t have? Are you insane?” by Prof. Xiao-li Meng, Co-Chair, Harvard Data Science Initiative

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#Credit FAQ “What is the exact formula that links default probabilities, recovery & liquidity parameters with bond prices & spreads?” This is the March, 2020 version by Prof. Robert Jarrow, Prof. Jens Hilscher & Dr. Donald van Deventer#credit 

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Just an OK surf day in #Chigasaki  but with Mt. Fuji in the background, who cares?

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"Point in Time" versus "Through the Cycle"-A Distinction without a Difference $MCO

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NEW VIDEO Simulating First Year Defaults in a Bond and Equity Portfolio of 38,567 Firms: $AGG $BND $BOND $SPY

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