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 Bund Yield Forecast, April 19, 2024: Running in Place

Summary The inverted Bund yields continued this week with the negative 2-year/10-year yield spread at negative 49.6 basis points compared to 49.2 basis points last week. As a result, today’s simulation shows that the probability of negative spreads in the 91-day...

SAS Weekly Forecast, April 19, 2024: Higher for 30 Years?

Summary The Treasury curve was up 9 basis points at 2 years and was up 12 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 38 basis points...

SAS Weekly Forecast, April 12, 2024: Higher for Longer

Summary The Treasury curve was up 15 basis points at 2 years and was up 11 basis points at 10 years over the last week. As a result, the current negative 2-year/10-year Treasury spread widened to negative 38 basis points this week compared to negative 34 basis points...

COMMENTARY

Follow the Cash

NEW YORK, April 2, 2024: Global markets posted gains in the first quarter, with U.S. markets leading the way.  While uncertainty around rate cuts and geopolitical tensions remained, growing confidence in a soft landing and excitement around artificial intelligence...

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...

Navigating Uncertainty

NEW YORK, February 2, 2024: Markets continue to focus on interest rates and the timing of the Federal Reserve in cutting them.  The end-of-month pullback reflected an adjustment to anticipated timing, but not a change in expectations that rates will come down. The...

Risks and Opportunities In The Year Ahead

NEW YORK, January 2, 2024: During the holidays, as I was going through old boxes in my garage, I discovered a treasure trove of my old record albums.  I had forgotten how iconic album art was back in the day. Among the albums was the Grateful Dead’s “American Beauty,”...

Market Pricing Anticipates a Global Soft Landing

NEW YORK, December 4, 2023: Global stock markets recorded their best month in three years on hopes for interest rate cuts.  Global bonds also had a very strong month with the ICE BofA index of global investment-grade bonds in major markets posting its best month since...

ARCHIVES