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, October 10, 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, October 10, 2025: Measuring the Impact of the China Rare Earth Love Letter
Summary Treasury yields dropped more in response to a letter from China than they did in reaction to Jerome Powell’s too-late rate cut. That being said, the yield impact was less than 10 basis points at most points on the Treasury yield curve. The most likely range...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 3, 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, October 3, 2025: 0% to 2% Range Most Likely for 3-Month Bill Rate in 10 Years
Summary The most likely range for 3-month bill yields in 10 years moved back to the 1% to 2% range this week. The probability of being in this range is 0.16% higher than the probability of the 0% to 1% range. Treasury 2-year yields moved to 3.58% this week from 3.63%...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 26, 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
Non-conventional Fed actions lowered default risk in the short-term—but what’s coming next?
NEW YORK October 1, 2025: The U.S. markets have become conditioned to seeing the Federal Reserve step in whenever negative conditions appear to worsen. Of course, many see the Fed’s interventions as a safety net – as indeed they are during times of crisis. But...
Tariffs: Learning from History to Chart a Path to the Future
NEW YORK September 2, 2025: Successful investing is the art of filtering out noise so that you can focus on signals leading to long-term gains. But how do you do that when markets are constantly jolted by changing tariffs—and shifting sentiment about their potential...
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...
EVENTS
- 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