TROUBLED COMPANY INDEX®
The Troubled Company Index® measures the percentage of 41,500 public firms in 76 countries that have an annualized one- month default risk of over one percent.
DAILY
Kamakura Default Probabilities versus
Legacy Ratings
Kamakura Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
NEWS & PRESS RELEASES
SAS Weekly Bund Yield Forecast, March 8, 2024: No Aversion to Inversion
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 46.9 basis points compared to 46.7 basis points last week. As a result, today’s simulation shows that the probability of negative spreads in the 91-day...
SAS Weekly Forecast, March 8, 2024: Record Negative Treasury Spread Streak Likely on Thursday
Summary The Treasury curve moved down 6 basis points at 2 years and was down 10 basis points at 10 years over the last week. As a result, the current negative 2-year/10-year Treasury spread widened to negative 39 basis points this week compared to negative 35 basis...
SAS Weekly Bund Yield Forecast, March 1, 2024: Most Likely Range for 10-Year Bund Yields Remains 1% to 2% in 10 Years
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 46.7 basis points compared to 50.1 basis points last week. As a result, today’s simulation shows that the probability of negative spreads in the 91-day...
SAS Weekly Forecast, March 1, 2024: 7 Trading Days from a Record Negative Treasury Spread Streak
Summary The Treasury curve moved down 13 basis points at 2 years and was down 7 basis points at 10 years over the last week. As a result, the current negative 2-year/10-year Treasury spread narrowed to negative 35 basis points this week compared to negative 41 basis...
Market Confidence or Complacency?
NEW YORK, March 4, 2024: To the readers of our monthly credit conditions report: We are changing our approach and format. Starting with this issue, we will begin the report with our market/credit commentary and follow with the movement and drivers of the Troubled...
EVENTS / ARCHIVES
- MAR 19 | Finansnæringensdag 2024
- MAR 20 | RMA Chiefs Economists Breakfast
- MAR 27 | Thailand Future Risk & Fraud Forum 2024
- APR 25 | Malaysia Future Risk & Fraud Forum 2024
- On-Demand | Navigating Economic Challenges: Building Resilience
Through Integrated Risk Management (SAS webinar) - On-Demand | Rethinking Risk Managment in Financial
Services (SAS + FT Live)
BLOGS
Donald R. van Deventer, Ph.D.
Don founded Kamakura Corporation in April 1990 and currently serves as Co-Chair, Center for Applied Quantitative Finance, Risk Research and Quantitative Solutions at SAS. Don's focus at SAS is quantitative finance, credit risk, asset and liability management, and portfolio management for the most sophisticated financial services firms in the world.
Martin Zorn currently serves as a Managing Director, Risk Reseach and Quantitative Solutions for Risk Data and Analytics inititives at SAS. In his role he oversees day-to-day operations serving risk management clients.
Stas Melnikov
Stas Melnikov is Head of Risk Portfolio leading teams responsible for integrated balance sheet management solutions, risk data and analytics services and center for applied quantitative finance at SAS Institute. Stas’ work has been featured in numerous industry and investor presentations, including quantitative analyses used to express pre-Global Financial Crisis warnings about the mortgage and real estate markets.
SAS Weekly Bund Yield Forecast, March 8, 2024: No Aversion to Inversion
Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 46.9 basis points...
Kamakura’s Presentation to the 2022 IACPM Spring Conference
There is No Free Lunch: How Portfolio Managers Need to Adapt to a Shifting Macroeconomic Paradigm Martin Zorn May 19, 2022...