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
SAS Weekly Swedish Krona and Government Bond Yield Simulation, April 17, 2025: Median Scenario One Year Forward for the Swedish Krona is 10.14
Summary One-month forward Swedish Government Bond rates peaked at 2.59% this week, compared to 2.76% the previous week. The 2-year/10-year Swedish Government Bond spread closed the week at 0.347%, compared to 0.541% one week prior. The most likely one percent range...
SAS Weekly Bund Yield and Euro Simulation, April 17, 2025: Median Scenario for the Euro at 1.1190 One Year Forward
Summary The 2-year/10-year Bund spread closed the week at a positive 0.786%, a change from 0.778% last week. As a result, today’s simulation shows that the maximum probability of a return to negative spreads is 25.8%, compared to 25.9% in the prior week, in the 91-day...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, April 17, 2025: Median Scenario for the Pound One Year Forward is 1.3129
Summary One-month forward Gilt rates peaked at 6.70% this week, compared to 6.92% the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at 0.6595%, compared to 0.6995% one week prior. As a result, today’s simulation shows that the peak...
SAS Weekly Japanese Government Bond and Yen Simulation, April 17, 2025: Median Scenario for the Yen One Year Forward is 143.61
Summary The median level for the yen-U.S. dollar exchange rate is 143.61 one year from now, compared to 145.18 last week, according to this week’s 100,000 scenario simulation of JGB yields and the exchange rate. The term premium in the JGB market has reverted to its...
SAS Weekly Australian Dollar and Government Bond Yield Simulation, April 17, 2025: 5 to 10 Year Forward Rates Down 0.40%
Summary One-month forward Australian Government Bond rates peaked at 5.12% this week, compared to 5.52% the previous week. The 2-year/10-year Australian Government Bond spread closed the week at 0.943%, compared to 1.078% one week prior. The most likely one percent...
COMMENTARY
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...
Dealing with Structural Evolution
Dealing with Structural Evolution NEW YORK: December 2, 2024: Equity markets have been behaving as if U.S. economic growth is the main theme. In fact, U.S. equities have been outperforming other asset classes for over a decade. As a result, the 90-day correlation...
Economic Trick or Treat?
NEW YORK: November 4,2024: Economic headlines—including those about employment, inflation, and the stock market--have been generally upbeat and positive lately. The S&P 500 has set 47 record highs thus far in 2024. Household net worth marked another all-time high...
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