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).

2095 followers  •  2432 follow  •    •   http://t.co/V4iHMTW0Qt

TODAY’S AVERAGE KDP PER RATING GRADE “Why is the correlation between legacy ratings & modern KRIS default probabilities so low?” Ratings are (1) 160 years old (2) have no term structure (3) change every (median) 1,107 days (4) have “bigger is better” & “issuer pays” bias #credit 

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Traded bond spreads (blue) versus 1 & 10-year KRIS default probabilities (orange & green) for Leidos Holdings $LDOS bonds due 2020 via risk ratings #credit  #creditrisk  #creditratings  #bonds  #corporatebonds  #riskmanagement  #interestrates 

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The Kamakura Troubled Company Index®, the only daily measure of the international economy, shows that worldwide corporate credit conditions were up 3 points at the 43rd percentile of the period 1990 to 2019, with 100 indicating best. #credit  #creditriskr #riskmanagementisk

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The Kamakura Expected Cumulative Default Rate, the only daily index of the credit quality of rated firms worldwide, shows the 1-year rate down 0.08% at 1.18% and the 10-year up 0.05% at 14.85%. #riskmanagement  #credit  #creditriskrisk 

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There were 7 advances and 13 declines in price among the most heavily traded bonds in the US corporate market in the prior trading day. Via risk #credit  #creditrisk  #bonds  #corporatebonds  #CVA  #riskmanagement 

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#Credit FAQ “How wrong will I be if I use historical 1-year ratings-based default rates instead of modern default probabilities?” Very wrong. Because ratings have no term structure, 1 maturity will be ok but others will be way off” Example: 10 years 1 million scenarios

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Daily validation for legacy #creditratings , invented in 1860: Which is more accurate for rich/cheap fixed income analysis, KRIS default probabilities or ratings? KRIS wins 83% of the bond by bond day by day comparisons #bonds  #credit  #creditriskrisk 

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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:

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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By country and maturity, how much of the variation in modern KRIS big data default probabilities is explained by an ordinal variable based on #creditratings  (1=AAA, 2=AA+, etc.)? Example: ARGENTINA, 5 years, MINUS 2% #credit  #creditriskr #Argentinaisk

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#Japan issues 30 year government bonds to yield 0.319% at the average price:

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Legacy rating agency has just added "market leverage" to its credit model. @KamakuraCo  did that in 2003.

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