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Donald van Deventer
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Donald R. van Deventer founded the Kamakura Corporation in April, 1990 and is currently Chairman and Chief Executive Officer. Dr. van Deventer's emphasis at Kamakura Corporation is enterprise wide risk management and modern credit risk technology. The second edition of his newest book, Advanced... More
My company:
Kamakura Corporation
My blog:
Donald R. van Deventer's Kamakura Blog
My book:
Advanced Financial Risk Management, 2nd Edition 2013
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  • Measuring Oracle's Funding Advantage Over The Too Big To Fail Banks

    (click to enlarge)o

    This graph compares the issuer's trade-weighted average credit spreads (in black) with the U.S. Dollar Cost of Funds Index on the same day. The average credit spreads are calculated daily by Kamakura Corporation from trade-weighted bond prices reported by TRACE and from data from the U.S. Department of the Treasury.

    The U.S. Dollar Cost of Funds IndexTM measures the trade-weighted cost of funds for the largest deposit-taking U.S. bank holding companies. The index is a credit spread, measured in percent and updated daily, over the matched maturity U.S. Treasury yield on the same day. The current bank holding companies used in determining the index are Bank of America Corporation (NYSE:BAC), Citigroup Inc. (NYSE:C), JPMorgan Chase & Co. (NYSE:JPM), and Wells Fargo & Company (NYSE:WFC). The index is an independent market-based alternative to the Libor-swap curve that has traditionally been used by many banks as an estimate of their marginal cost of funds. Kamakura Corporation is the calculation agent, and the underlying bond price data is provided by TRACE and the U.S. Department of the Treasury.

    Apr 16 12:40 PM | Link | Comment!
  • U.S. Dollar Cost Of Funds Index 0.988% At 5 Years, April 15, 2015

    (click to enlarge)c

    The U.S. Dollar Cost of Funds IndexTM measures the trade-weighted cost of funds for the largest deposit-taking U.S. bank holding companies. The index is a credit spread, measured in percent and updated daily, over the matched maturity U.S. Treasury yield on the same day. The current bank holding companies used in determining the index are Bank of America Corporation (NYSE:BAC), Citigroup Inc. (NYSE:C), JPMorgan Chase & Co. (NYSE:JPM), and Wells Fargo & Company (NYSE:WFC). The index is an independent market-based alternative to the Libor-swap curve that has traditionally been used by many banks as an estimate of their marginal cost of funds. Kamakura Corporation is the calculation agent, and the underlying bond price data is provided by TRACE and the U.S. Department of the Treasury.

    Today's on the run values for the U.S. Dollar Cost of Funds Index are shown below.

    Tags: BAC, C, JPM, WFC, financials, bonds
    Apr 16 12:37 PM | Link | Comment!
  • World-Wide Corporate Credit Conditions Improve 4 Points To 93rd Percentile

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    Kamakura Corporation reported today that its troubled company index was down 0.32% to 5.56%. At this level, the index is at the 93rd percentile of corporate credit conditions over the period from 1990 to the present. The record low in the index, the 100th percentile, was 3.95% set on August 4, 2014.

    The Kamakura troubled company index measures the percentage of more than 35,000 public firms in 61 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 11.56%. Since November, 2010, the Kamakura index has used the annualized one month default probability produced by the KRIS version 5.0 Jarrow-Chava reduced form default probability model, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The version 5.0 model was estimated over the period from 1990 to 2008, and includes the insights of the worst part of the recent credit crisis. The countries currently covered by the index are Argentina, Australia, Austria, Bahrain, Bangladesh, Belgium, Brazil, Canada, Chile, China, Colombia, Cyprus, Denmark, Egypt, Estonia, Finland, France, Germany, Greece, Hong Kong, Iceland, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Kuwait, Luxembourg, Malaysia, Malta, Mexico, the Netherlands, New Zealand, Norway, Oman, Pakistan, Peru, the Philippines, Poland, Portugal, Qatar, Russia, Saudi Arabia, Singapore, Slovakia, Slovenia, South Africa, South Korea, Spain, Sri Lanka, Sweden, Switzerland, Taiwan, Thailand, Turkey, the United Arab Emirates, the United Kingdom, the United States, and Viet Nam.

    Apr 16 12:24 PM | Link | Comment!
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