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.
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 2, 2026
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 2, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Down 3% to 68%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is up 5% to 48% today. The probability that the 3-month Treasury bill rate is over 4% in one year is 68% today. The most likely range for 3-month bill yields in 10 years remained...
OPTION PRICING WITH TIME-CHANGED FRACTIONAL BROWNIAN MOTION: A FRACTIONAL VARIANCE GAMMA MODEL
We are pleased to announce a new paper by Professors Robert Jarrow and Jayen Tan: OPTION PRICING WITH TIME-CHANGED FRACTIONAL BROWNIAN MOTION: A FRACTIONAL VARIANCE GAMMA MODEL Robert Jarrow1 and Jayen Tan1,2 1 Samuel Curtis Johnson Graduate School of Management,...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 25, 2026
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, September 25, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Down 8% to 71%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is up 7% to 43% today. The probability that the 3-month Treasury bill rate is over 4% in one year is 71% today. The most likely range for 3-month bill yields in 10 years remained...
Introducing AI Credit Pulse Index
The AI infrastructure buildout is a credit theme that extends beyond the technology sector. Computing capacity depends on advanced semiconductors and servers, along with data centers, electrical equipment, cooling systems, fiber networks, construction services and...
The Growing Divide in High Yield
The quality of the public high yield market has improved over the past several years, at least by conventional ratings measures. A larger share of the public high yield market is now rated BB, while some of the riskier corporate borrowing activity has increasingly...
Update to Regional Credit Risk Analysis
Two months ago, we examined the impact of the Iran war on corporate credit risk forecasts around the world. The analysis showed that after the initial jump in March, most markets retraced much of the move by April. Out of 9 countries examined, Japan, Qatar, and Korea...
The SaaSpocalypse Impact on Credit
For much of 2026, one question has dominated the technology sector: what happens to traditional software companies when artificial intelligence can write code, automate workflows, and allow customers to build applications themselves? The resulting concern manifested...
Communication Services: The Sector Where Scale Hides the Tail
Sector dispersion has been a recurring theme in the monthly Credit Conditions Newsletter because distributional dynamics often say more about credit risk than sector averages. Two months ago, we highlighted the widening of default-probability distributions following...
ANALYTICS
KRIS Default Probabilities versus Credit Ratings
SAS Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
EVENTS
- October
- 1 OCTOBER | BattleFin Discovery Day London
- November
- 16 – 19 NOVEMBER | Quant Minds