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.


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.


Kamakura Default Probabilities versus
Legacy Ratings

Kamakura Daily Bond Performance Attribution

KRIS Daily Default Probability and
Bond Cross-Validation


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...

SAS Weekly Forecast, December 1, 2023: Forward Treasury Peak Down 0.10%

Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 31, 2024 is 61.5%, down 12.1 points from last week. The current negative spread narrowed this week from negative 46 to negative 34 basis points. The long-term...




Donald R. van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as Co-Chair, Center for Applied Quantitative Finance, Risk Research and Quantitative Solutions at SAS. Don's focus at SAS is quantitative finance, credit risk, asset and liability management, and portfolio management for the most sophisticated financial services firms in the world.

Martin M. Zorn

Martin Zorn currently serves as a Managing Director, Risk Reseach and Quantitative Solutions for Risk Data and Analytics inititives at SAS. In his role he oversees day-to-day operations serving risk management clients.

Stas Melnikov

Stas Melnikov is Head of Risk Portfolio leading teams responsible for integrated balance sheet management solutions, risk data and analytics services and center for applied quantitative finance at SAS Institute. Stas’ work has been featured in numerous industry and investor presentations, including quantitative analyses used to express pre-Global Financial Crisis warnings about the mortgage and real estate markets.