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, June 20, 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, June 20, 2025: Peak in One-Month Forward Rates Up 0.14% to 6.16%
Summary The most likely range for 3-month bill yields is the 0% to 1% range, unchanged from last week. Treasury 2-year yields moved to 3.9% this week from 3.96% last week. At 10 years, this week’s yield is 4.38%, compared with 4.51% last week. As a result, the current...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 13, 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, June 13, 2025: Most Likely Range for Three-Month Bill Rate in 10 Years Drops One Percent
Summary The most likely range for 3-month bill yields is the 0% to 1% range, down from the 1% to 2% range last week. Treasury 2-year yields moved to 3.96% this week from 4.04% last week. At 10 years, this week’s yield is 4.41%, compared with 4.51% last week. As a...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 6, 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
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...
A Tug of War in U.S. Markets
NEW YORK: March 3, 2025: U.S. stocks now make up 65% of the global equity market – their highest weighting in history[1]. The second-largest contributor (by market capitalization) is Japan, at a far-distant 5%. Not surprisingly, U.S. equities play an outsize role in...
Lead, Follow, or Buy Bonds?
NEW YORK: February 3, 2025: Bob Dylan famously sang, “You don’t need a weatherman to know which way the wind blows”. The market started the new year on a roller coaster, with the S&P 500 hitting an all-time high, then selling off on news of a new AI model from...
EVENTS
- 18 MAR | Transform Finance: 5th Annual FinCrime Leaders Summit UK
- 19-21 MAR | AML Partnership Forum 2025
- 20 MAR 9:30am ET | Live Webinar: | Driving Tax Administration Excellence: 2025 Strategies
- 23 MAR | Environmental Council of the States
- 27 MAR | SAS ALM Connect
- 27 MAR | SAS Canada AML Executive Roundtable
- 01–02 APR | In-Person Event: Fraud Fight Club Hospitality Events
- 01 APR 12pm ET | Live Webinar: | No Fooling: 2025 Insurance Trends That Matter
- 14 APR | Future Risk Forum Malaysia
- 16 APR 12pm ET | Live Webinar: | Not All Heros Wear Capes: How AI and Data Help Stop Money Laundering in the Opioid Crisis
- 28 APR–30 APR | In-Person Event: ACAMS Hollywood
- 30 APR | MRM and AI Governance Connection
- 30 APR–2 MAY | 2025 State Healthcare IT Connect Summit
- 6-9 MAY | SAS Innovate 2025
- 20-21 MAY | European Police Congress 2025