SAS and Kamakura
On June 27, 2022, SAS – the global AI and analytics leader – acquired Kamakura Corporation, a leading provider of risk management software, information and consulting. As a result of the acquisition we can now provide an unparalleled suite of integrated risk solutions, particularly concerning asset liability managment (ALM) and other essential solutions for the financial services industry. SAS has scaled resources to support Kamakura products, enabling SAS resources and selected specialized Partners. The Kamakura products are becoming an integrated part of the SAS Risk platform.
TROUBLED COMPANY INDEX®
The Troubled Company Index ® measures the percentage of 42,500 public firms in 76 countries that have an annualized one-month default risk of over one percent.
DAILY
KRIS Default Probabilities versus
Legacy Ratings
SAS Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
RESEARCH
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 8, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
SAS Weekly Treasury Simulation, August 8, 2025: Measuring the Default Risk of Going Long and Borrowing Short
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being in this range is only 0.03% higher than the probability of the 0% to 1% range. Treasury 2-year yields moved to 3.76% this week from 3.69%...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 1, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
SAS Weekly Treasury Simulation, August 1, 2025: Peak in One-Month Forward Treasuries Drops 0.06% to 5.91%
Summary The most likely range for 3-month bill yields is the 1% to 2% range, unchanged from last week. The probability of being in this range is only 0.03% higher than the probability of the 0% to 1% range. Treasury 2-year yields moved to 3.69% this week from 3.91%...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 25, 2025
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
COMMENTARY
Out of the Shadow of Government Debt
NEW YORK August 1, 2025: As the dog days of summer drag on in the Northern Hemisphere, the dynamics of government debt and credit risk are raising vexing questions, some of which seem to defy conventional analysis. Part of the confusion arises from the Federal Reserve...
From Integration to Separation: Risks and Opportunities from U.S.- China Decoupling
NEW YORK July 1, 2025: The history of U.S.-China trade in some ways mirrors the history of China itself: periods of stability and growth punctuated by radical shifts that have realigned industries, financial markets, and the actions of central banks. We are in the...
Market Disturbances or Just Increased Volatility
NEW YORK June 2, 2025: On a flight home last week, since the seat pitch made it impossible to type on a laptop, I watched the movie about Bob Dylan,” A Complete Unknown.” Perhaps that’s why looking over market movements this month brought to mind the lyrics from his...
Data Uncertainty and How to Deal With It
NEW YORK: May 1, 2025: This week’s economic news shot across the globe like a bullet: “U.S. Economy Shrank as Imports Surged Ahead of Tariffs.” Indeed, tariffs on imports created the biggest drag on growth since 1947. The ensuing level of anxiety and uncertainty has...
Unsettled Markets and Housing Dynamics
NEW YORK: April 2, 2025: U.S. markets were volatile in the first quarter, with investors concerned about tariffs, inflation, interest rates, economic growth, and global tensions. The S&P 500 hit three all-time highs but ended up posting its worst quarterly loss...
EVENTS
- August
- 05 AUG, 11am ET | SAS Ask the Expert: Credit Risk Decisioning Using Intelligent Decisioning on Viya
- 10-12 AUG | 120th CACP Annual Summit and Policing Trade Show
- 10–13 AUG | FTA Technology Conference and Expo
- 11–14 AUG | MESC 2025
- 13 AUG | SAS Innovate on Tour, Singapore
- 20 AUG | ACAMS Carolinas Chapter August 2025 Event: Check Fraud: The view from the US Postal Inspector
- 21 AUG | SAS Innovate on Tour, Sydney
- 21 AUG | 20th Annual Counterterrorism and Financial Crimes Forum
- 24 AUG | NAMPI 2025 Annual Conference
- 26-27 AUG | Datos Insights Financial Crime and Cybersecurity Forum
- September
- 07–10 SEP | 2025 MSATA (Midwestern States) Annual Meeting
- 09 SEP | SAS Innovate on Tour, Mexico City
- 11 SEP | SAS Innovate on Tour, Sao Paulo
- 15–16 SEP | MoneyLIVE North America
- 16-17 SEP | Nordic Financial Crime & Sanctions Forum
- 17 SEP | Palm Beach Economic Crimes Unit 2025 Financial Institution and Law Enforcement Annual Training Seminar
- 22–24 SEP | MoneyLIVE North America
- 30 SEP | SAS Innovate on Tour, Los Angeles
- 30 SEP | ACAMS Carolinas Chapter, 5th Annual AML and OFAC Symposium
- October
- 02 OCT | ACAMS Carolinas Chapter Symposium | Charlotte, NC (Banking-AML/Fraud)
- 08–09 OCT | RiskLive NA
- 14–16 OCT | ITC Vegas
- 29–30 OCT | Balance Sheet Management USA