
KAMAKURA TROUBLED COMPANY INDEX
The Kamakura 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
NEWS & PRESS RELEASES
SAS Weekly Forecast, February 3, 2023: Inverted Treasury Yield Curve Likely to Persist Through August
Today’s simulation shows that the inverted 2-year/10-year spread is likely to persist through August. The analysis below show that is a 93.4% possibility. As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk premium above and beyond the...
Even Soft Landings Are Bumpy
Even Soft Landings Are Bumpy NEW YORK, February 3, 2023: As February began, the Federal Reserve slowed its rate-tightening with just a quarter-point rise. The markets had a good month in January—in fact, the S&P 500 experienced its best January in four years. ...
A Bottom-up, Reduced Form Credit Risk Model Approach for the Determination of Collateralized Loan Obligation Capital
January 2023 Robert Jarrow[1] Donald R. van Deventer[2] Abstract This paper uses a bottom-up, reduced form credit risk model with hazard rate estimated default probabilities to compute various collateralized loan obligation (CLO) tranches’ loss probabilities and...
A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities
Robert A. Jarrow and Donald R. van Deventer A Revised Version of this Note is Forthcoming in the Journal of Fixed Income This version: February 1, 2023 First version: November 21, 2017 Abstract The purpose of this note is to illustrate the use of modern reduced form...
SAS Weekly Forecast, January 27, 2023: Probability of Inverted Treasury Yields Is 0 in 2025
The most important statistic from this week’s simulation is the future probability of an inverted 2 year/10 year Treasury yield curve. The probability drops from 89.0% in the 91-day period ending July 28, 2023 to zero in 2025. As explained in Prof. Robert Jarrow’s...
EVENTS
GFMI – Global Financial Markets Intelligence
February 6-8, 2023
New York, NY
ARCHIVES
PROBLEMS WE SOLVE
Asset Liability Management
Credit Portfolio Analysis and Default Probabilities
IFRS 9 and CECL
Market Risk
Credit Risk
Stress Testing
BLOGS

Donald R. van Deventer, Ph.D.

Martin Zorn currently serves as Kamakura's president and chief operating officer. In this role he oversees all day-to-day operations serving Kamakura risk management clients in 37 countries.

Sou-Cheng Choi, Ph.D.
Dr. Sou-Cheng T. Choi joined Kamakura as Chief Data Scientist on February 1st, 2020. Dr. Choi previously served as the Principal Data Scientist and Lead Researcher in Machine Learning for the automotive and life innovation groups at AllState.
SAS Weekly Forecast, February 3, 2023: Inverted Treasury Yield Curve Likely to Persist Through August
Today’s simulation shows that the inverted 2-year/10-year spread is likely to persist through August. The analysis below show...
Kamakura’s Presentation to the 2022 IACPM Spring Conference
There is No Free Lunch: How Portfolio Managers Need to Adapt to a Shifting Macroeconomic Paradigm Martin Zorn May 19, 2022...
GAIL—Guaranteed Automatic Integration Library in MATLAB: Documentation for Version 2.3
Authors: Sou-Cheng T. Choi, Yuhan Ding, Fred J. Hickernell, Lan Jiang,Lluís Antoni Jiménez Rugama, Da Li, Jagadeeswaran...