TROUBLED COMPANY INDEX®
The Troubled Company Index ® measures the percentage of 42,500 public firms in 76 countries that have an annualized one-month default risk of over one percent.
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 28, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
SAS Weekly Treasury Simulation, August 28, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Up 6% to 44%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is 28% today. The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of being in this range is 0.88% higher than the...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 21, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
SAS Weekly Treasury Simulation, August 21 2026: Probability of 3-Month Bill Yield Over 4% in One Year Jumps 7% to 38%
Summary The most likely range for 3-month bill yields in 10 years remained at the 1% to 2% range this week. The probability of being in this range is 1.09% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 4.24% this week from...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 14, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the most important paper in financial economics in the last 50 years.” The Center for Applied Quantitative Finance provides the risk-neutral and...
The Growing Divide in High Yield
The quality of the public high yield market has improved over the past several years, at least by conventional ratings measures. A larger share of the public high yield market is now rated BB, while some of the riskier corporate borrowing activity has increasingly...
Update to Regional Credit Risk Analysis
Two months ago, we examined the impact of the Iran war on corporate credit risk forecasts around the world. The analysis showed that after the initial jump in March, most markets retraced much of the move by April. Out of 9 countries examined, Japan, Qatar, and Korea...
The SaaSpocalypse Impact on Credit
For much of 2026, one question has dominated the technology sector: what happens to traditional software companies when artificial intelligence can write code, automate workflows, and allow customers to build applications themselves? The resulting concern manifested...
Communication Services: The Sector Where Scale Hides the Tail
Sector dispersion has been a recurring theme in the monthly Credit Conditions Newsletter because distributional dynamics often say more about credit risk than sector averages. Two months ago, we highlighted the widening of default-probability distributions following...
Global Credit Risk After the Iran War Shock
This month we take a global look at the impact of the Iran war on corporate credit risk via analysis of median probability of default (PD) for a select group of countries. The initial corporate credit response to the Iran war shock was broad. Median 1yr PD rose across...
ANALYTICS
KRIS Default Probabilities versus Credit Ratings
SAS Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
EVENTS
- October
- 1 OCTOBER | BattleFin Discovery Day London
- November
- 16 – 19 NOVEMBER | Quant Minds