Kamakura Announces Video Tutorials: U.S. Dollar Interest Rate Movements Featured in First Presentation

New York - 12 October 2011

Honolulu-based Kamakura Corporation announced today that the firm is launching a series of video tutorials on risk management topics. The first installment in the video series features Kamakura CEO and founder Dr. Donald R. van Deventer narrating an animated history of daily movements in the U.S. Treasury forward rate curve from 1962 through 2011.
The tutorial is based on the recent Kamakura publication by Kamakura’s Daniel T. Dickler, Robert A. Jarrow and Donald R. van Deventer, “Inside the Kamakura Book of Yields: A Pictorial History of 50 Years of U.S. Treasury Forward Rates”.

A statistical analysis of forward rate movements is summarized in the video by Dr. van Deventer based on the recent blog entry by Kamakura’s Daniel Dickler and Dr. van Devente.

“Kamakura’s video tutorial series is driven by demand from clients and potential clients 365 days a year and 24 hours a day,” said Kamakura Chief Administrative Officer Martin Zorn. “With the initiation of this video series, Kamakura’s best experts on the most advanced risk issues of the day are available ‘on demand’ to clients all over the world. Kamakura’s state of the art yield curve analytics, dating back more than 20 years, are clearly apparent in the first video on historical movements in forward rate curves. Many of the term structure models used in practice are simply inconsistent with actual market movements for a very basic reason-the analyst never looked at the data to verify that the assumed yield movements fit the facts. With this video on 12,395 days of forward rate data, an analyst can immediately verify whether his assumptions about how interest rates move are correct or not.”

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