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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
  • Sovereign Default Risk: Spain Versus Italy 2 comments
    Sep 19, 2013 12:46 PM | about stocks: EWP, EWI

    (click to enlarge)spain192

    Kamakura Corporation launced the world's first sovereign default probability model in 2008. Background on the model is available in this introduction to sovereign default risk and this comparison between corporate and sovereign default analysis.

    The blue line is the 1 year default probability for Spain. The yellow line is the 1 year default probability for Italy.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Stocks: EWP, EWI
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  • june1234
    , contributor
    Comments (4252) | Send Message
     
    Ini mini miny moe, pick one.I like both orange and blue lines traveling in same direction on the chart. Good not to have any plans to initiate any positions in either withing next 72yrs I mean hrs.
    20 Sep 2013, 07:39 AM Reply Like
  • Donald van Deventer
    , contributor
    Comments (2083) | Send Message
     
    Author’s reply » Thanks June, very well said. Spain and Italy have a lot in common besides nice people, great weather and great food!
    20 Sep 2013, 12:35 PM Reply Like
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