KAMAKURA TROUBLED COMPANY INDEX
The Kamakura Troubled Company Index® measures the percentage of 40,500 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
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 Presentation to the IACPM Spring Conference Madrid, Spain Abstract Over the past 50 years, the markets have witnessed many shocks and changes to...
Kamakura Weekly Forecast, May 20, 2022: Peak in Treasury Forward Rates Down 0.20%
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The peak in forward rates underlying the U.S. Treasury yield curve closed the week 20 basis points below last week. In this week’s forecast, the focus is on three elements of interest...
The Reduced Form Approach to SOFR Swap and Swaption Valuation
Robert A. Jarrow[1] and Donald R. van Deventer[2] Presentation to Risk Americas, May 11, 2022 This Version: May 19, 2022 Abstract We present an annotated version of slides used in a presentation to Risk Americas on the reduced form approach to SOFR swap and swaptions...
Kamakura Weekly Forecast, May 13, 2022: Forward Rates Rise to 4.34%
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Forward rates underlying the U.S. Treasury yield curve jumped again this week, rising to 4.34% in coming years. In this week’s forecast, the focus is on three elements of interest rate...
Kamakura Weekly Forecast, May 6, 2022: Forward Rates Rise Again
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Forward rates underlying the U.S. Treasury yield curve jumped again this week after the Fed’s 50 basis point rate hike. In this week’s forecast, the focus is on three elements of...
EVENTS
ESG Risk Management Summit North America
Climate Risk Stress Testing Pre-event Workshop
May 24-25, 2022
New York, NY
NACM 2022 Credit Congress
June 5-8, 2022
Louisville, KY
Q Group Fall Conference
September 18-21, 2022
Phoenix, AZ
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.
Kamakura Weekly Forecast, May 20, 2022: Peak in Treasury Forward Rates Down 0.20%
Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward The peak in forward rates underlying the U.S....
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...