KRIS Macro-Factor Data Base
As part of its industry-leading KRIS default probability service, Kamakura’s research team has assembled a massive set of macro-economic variables that can serve as explanatory variables in risk management models of many types. Variables from this macro-factor data set have been used in every KRIS default product offered since the KRIS service was launched in 2002. At the request of clients, Kamakura Corporation makes these macro-economic variables available to clients via subscription, using file transfer protocol just as major institutional clients of the KRIS default probability service do.
The KRIS macro-factor data base is growing constantly. Currently there are more than 3,000 time series in the database. Contents range from the incidence of the COVID 19 virus, commodity prices, GDP statistics, and factors relevant to ESG investing and risk management.