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 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
RESEARCH
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, October 11, 2024: Probability of Inverted Yields at 26.4%
Summary The 2-year/10-year United Kingdom Gilt spread closed the week at a positive 4.3 basis points. As a result, today’s simulation shows that the probability of future negative Gilt spreads in the 91-day period ending April 11, 2025 is 26.4%. The most likely one...
SAS Weekly Bund Yield and Euro Forecast, October 11, 2024: 22% Probability of a Return to Inverted Yields
Summary The 2-year/10-year Bund spread closed the week at a positive 2.7 basis points. As a result, today’s simulation shows that the probability of a return to negative spreads in the 91-day period ending April 11, 2025 is 22.1%. The most likely one percent range for...
SAS Weekly Treasury Forecast, October 11, 2024: Long-term Forward Rates Jump 0.25%
Summary Treasury yields were up 0.02% at 2 years and were up 0.10% at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread widened to positive 13 basis points, compared to 5 basis points a week earlier. The negative 2-year/10-year...
SAS Weekly Japanese Government Bond and Yen Simulation, October 11, 2024: A Return to Normal?
Summary The term premium in the Japanese Government Bond yield curve is close to zero for the first 10 years, but it increases substantially thereafter. Beyond 10 years, the term premium is similar to that observed in “normal” government yield curves. The most likely...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through September 30, 2024
October 7, 2024 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve has been a major focus of research by monetary policy makers and market participants. Researchers have employed both closed form solutions and no-arbitrage...
COMMENTARY
The Abrupt End of an Era
NEW YORK: October 1, 2024: September 2024 was a month for the history books. The Fed started its long-anticipated easing cycle by cutting the federal funds rate for the first time in four years. Leading up to the FOMC meeting, expectations for the size of the cut were...
Reflections on Jackson Hole
NEW YORK: Sept. 3, 2024: Jackson Hole, Wyoming is a place of great beauty, as well as the site of the annual policy symposium hosted by the Federal Reserve Bank of Kansas City. This year’s focus on monetary policy is especially significant because inflation has...
Emotion, Momentum and the Markets
NEW YORK, August 2, 2024: July has been quite a month. The Democrats selected a new candidate for president, former Federal Reserve President Bill Dudley called for immediate rate cuts amid recession concerns, and volatility spiked. After a brief sell-off, the...
The Great Bifurcation Continues
NEW YORK, July 2, 2024: Markets ended in the black this quarter, with the S&P 500 up 4% for the quarter and 15.29% year-to-date. The S&P World Index was up 0.82% for the quarter and 6.75% for the year-to-date. The S&P 500 top 50 were up 9% in the second...
In Times of Disruption, Focus on Fundamentals
NEW YORK, June 3, 2024: While markets continue to focus on inflation and anticipating the Federal Reserve’s next moves on interest rates, other fundamental issues are equally important. New home sales fell 4.7% in April and the median selling price increased 3.9%...