HONOLULU, January 22, 2004: Kamakura Corporation reported today that it has released a new research report on yield curve technology on riskcenter.com. The report is titled "Evaluating Yield Curve Smoothing Techniques with Implications for Credit Spreads" and it can be accessed on a "premium content" basis. The report explains how a single approach to yield curve fitting can be proven mathematically to be "the best." The Kamakura paper, authored by Dr. Donald R. van Deventer, shows how to evaluate the best technology for yield curve fitting in a quantitative way and it provides a worked example comparing two yield curve fitting techniques. A series of companion papers focusing on credit spreads will be made available on the Riskcenter website in coming weeks.
"Kamakura has been gratified by the thousands of financial market practitioners who download Kamakura research each week and who use this research as it is embedded in our Kamakura Risk Manager software suite and Kamakura Risk Information Services default probability products," commented Warren Sherman, Kamakura President and Chief Operating Officer. "Riskcenter allows us to bring Kamakura analytics to an even wider audience and the pay per view feature helps us to bring this research into the public domain at an even faster pace than we have done in the last 14 years. The yield curve technology that we discuss in this paper has been key to the risk free interest rate data we provide to clients ranging from universities to some of the largest financial institutions in the United States. We believe the KRIS-yc yield curve data is unique in its daily history of forward rates, zero coupon bond prices, and zero coupon bond yields in the U.S. Treasury market." For more information on Kamakura's interest rate information products, see the KRIS-yc page on the products section of the Kamakura web site.
Dr. van Deventer, author of the paper, is Kamakura's founder and Chief Executive Officer. He is the author of Financial Risk Management in Banking (1993, with Dr. Dennis Uyemura), Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance and Investment Management (1996, with Kenji Imai), and Credit Risk Models and the Basel Accords (2003, with Kenji Imai). His fourth book is forthcoming this year from John Wiley & Sons. Dr. van Deventer received his Ph.D. in Business Economics from Harvard University, where he is a member of the Graduate School of Arts and Sciences Alumni Council and an appointed Director of the Harvard Alumni Association.