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
NEWS & PRESS RELEASES
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...
SAS Weekly Forecast, November 24, 2023: 10-year Treasury Most Likely Range in 10 years is 2% to 3%
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 24, 2024 is 73.6%, up 1 point from last week. The current negative spread edged up this week from negative 44 to negative 45 basis points. The long-term peak...
SAS Weekly Forecast, November 17, 2023: Forward Treasury Peak Down 0.14%
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 17, 2024 is 72.6%, unchanged from last week. The current negative spread edged up this week from negative 43 to negative 44 basis points. The long-term peak in...
SAS Weekly Forecast, November 10, 2023: Negative Treasury Spreads for Longer
Summary The probability that the 2-year/10-year Treasury spread is still negative in the 13 weeks ending May 10, 2024 moved up to 72.6% from 54.7% last week. The current negative spread widened this week from negative 26 to negative 43 basis points. The long-term peak...
ARCHIVES / EVENTS
BLOGS
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 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.
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%,...
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...