SOURCE: Kamakura Corporation

Kamakura Corporation

September 13, 2011 11:00 ET

Kamakura Releases 50 Years of U.S. Treasury Daily Forward Rate Curves

NEW YORK, NY--(Marketwire - Sep 13, 2011) - Honolulu-based Kamakura Corporation announced Tuesday that it has released 50 years of U.S. Treasury forward rate data to clients and friends of the firm. The data is available on both a subscription basis via Kamakura Risk Information Services and in hard copy in a volume entitled "Inside the Kamakura Yield Curve: A Pictorial History of 50 Years of U.S. Treasury Forward Rate Curves." The forward rate data is available from January 2, 1962 through August 22, 2011 on a daily basis. "Inside the Kamakura Yield Book" was authored by Kamakura's Daniel T. Dickler, Professor Robert Jarrow, and Dr. Donald R. van Deventer.

"For decades, risk managers have relied on a belief that various interest rate models were sufficient to manage interest rate risk skillfully, without any proof that this belief was well founded in reality," said Kamakura Chief Administrative Officer Martin Zorn, "This volume shows conclusively that duration and convexity, the Nelson Siegel model, and one to three factor academic term structure models are too simple to mimic actual U.S. Treasury forward rate curves and their movements over the last 50 years. A rich multi-factor approach, like that offered in Kamakura Risk Manager, is the only approach that is accurate enough to protect institutions against the kind of interest rate risk that we have seen over the last 50 years in the United States."

The forward rate curves were derived from U.S. Treasury yield data provided by the Board of Governors of the Federal Reserve. The yield curve smoothing technique used was the "maximum smoothness forward rate" approach developed by Kamakura founded Dr. Donald R. van Deventer in 1994 with a co-author. The risk system used to generate the month forward rate data was Kamakura Risk Manager version 7.3. "Inside the Kamakura Yield Book: A Pictorial History of 50 Years of U.S. Treasury Forward Rate Curves" features one graph for each year from 1962 to the present showing U.S. Treasury monthly forward rates on each business day, like the graph provided for 2003.

For information about a copy of "Inside the Kamakura Yield Book" or a subscription to the underlying data, please contact

David Boldon, Washington, D.C, 1-201-240-6235,
Suresh Sankaran, London, 44- 07725-544-770,
Toshio Murate, Tokyo, 81-3-5778-7807,
Li Li, Shanghai, 86-21-6103-7052,

To request information from other locations, please contact

About Kamakura Corporation
Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has taken Credit Technology Innovation Awards from Credit Magazine each year since 2008. In 2010, Kamakura was the only vendor to win 2 innovation awards, one each with distribution partners Fiserv and Thomson Reuters. Kamakura, along with its distributor Fiserv, was ranked number one in asset and liability management analysis and liquidity risk analysis in the RISK Technology Rankings in 2009. Kamakura Risk Manager, first sold commercially in 1993 and now in version 7.3, was also named in the top five for market risk assessment, Basel II capital calculations, and for "risk dashboard." Kamakura was also ranked in the RISK Technology Rankings 2008 as one of the world's top 3 risk information providers for its KRIS default probability service. The KRIS public firm default service was launched in 2002, and the KRIS sovereign default service, the world's first, was launched in 2008. KRIS default probabilities are displayed for 4000 corporates and sovereigns via the Reuters 3000 Xtra service and the Thomson Reuters Eikon service. Kamakura has served more than 200 clients ranging in size from $1.5 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 34 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, South America, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv (, Sumisho Computer Systems (, Unisys (, and Zylog Systems ( making Kamakura products available in almost every major city around the globe.

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