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, March 17, 2023: Silicon Valley Bank Treasury Shock Persists
Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of Silicon Valley Bank. The probability that the inverted yield curve ends by September 15, 2023 has jumped from 2.3% to 24.9%. As explained in...
SAS Weekly Forecast, March 10, 2023: Silicon Valley Bank Flight to Safety Edition
Today’s Treasury yield simulation reflects the strong investor “flight to safety” in the wake of Friday’s collapse of Silicon Valley Bank after a classic interest rate risk blunder. As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk...
Interest Rate Risk: Job Insecurity is Back
Donald R. van Deventer March 9, 2023 One of Warren Buffett’s most famous quotes goes like this: “Only when the tide goes out do you discover who’s been swimming naked.” That time is now for interest rate risk managers, who have been basking in the warm sea of...
SAS Weekly Forecast, March 3, 2023: One-Month Treasury Forward Rate Spikes to 5.42%
Today’s analysis shows that the one-month forward U.S. Treasury yield hits a near-term peak of 5.42%. As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk premium above and beyond the market’s expectations for the 1-month forward rate. ...
Politics Meet Economics
Politics Meet Economics NEW YORK, March 2, 2023: February 24 marked the one-year anniversary of the war between Russia and Ukraine. The inflationary pressure of the war, combined with the inflationary pressure of fiscal responses to the Covid pandemic, continue to...
SAS Weekly Forecast, February 24, 2023: 2-year/10-year Treasury Negative Spread at Day 160
Today’s analysis shows that the negative 2-year/10-year U.S. Treasury spread looks almost certain to continue into 2024. As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk premium above and beyond the market’s expectations for the...
EVENTS
CAS Ratemaking, Product and Modeling Seminar
March 13th – 15th, 2023
US
Risk.net Risk Transformation Webinar
March 15th, 2023
IBR Risk Webinar
March 15th, 2023
Romania
Insurance Analytics & AI Innovation Conference
March 22nd and 23rd, 2023
Hong Kong
The current and future state of AI/ML models governance – A Canadian risk leader panel discussion
April 4th, 2023
SAS Canada & PRMIA – virtual
SAS Innovate
May 8-10, 2023
Orlando, Florida
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, March 17, 2023: Silicon Valley Bank Treasury Shock Persists
Today’s Treasury yield simulation reflects the continuing effects of the “flight to safety” in the wake of the collapse of...
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...