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
RESEARCH
SAS Weekly Japanese Government Bond and Yen Simulation, January 17, 2025: 27.3% Correlation with U.S. Treasury Yields at 10 Years
Summary The median level for the yen-U.S. dollar exchange rate is 164.51 one year from now, compared to 167.20 last week, according to this week’s 100,000 scenario simulation of JGB yields and the exchange rate. Beyond 10 years, the JGB term premium is similar to...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, January 10, 2025: One-month Forward Gilt Rate Peak Up to 6.25%
Summary One-month forward Gilt rates peaked at 6.25% this week, compared to 6.18% the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at 0.316%, compared to 0.18% one week prior. As a result, today’s simulation shows that the probability...
SAS Weekly Japanese Government Bond and Yen Simulation, January 10, 2025: Term Premium for 10 Years and Under Starts to Widen
Summary The median level for the yen-U.S. dollar exchange rate is 167.20 one year from now, compared to 168.21 last week, according to this week’s 100,000 scenario simulation of JGB yields and the exchange rate. Beyond 10 years, the JGB term premium is similar to that...
SAS Weekly Treasury Forecast, January 10, 2024: Most Likely Range for 3-Month Bills On a Knife Edge, 0% to 1% or 1% to 2%?
Summary Over the last week, Treasury 2-year yields moved to 4.4% this week from 4.28% last week. At 10 years, this week’s yield is 4.77%, compared with 4.6% last week. As a result, the current 2-year/10-year Treasury spread is now 0.37% compared to 0.32% last week....
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, January 3, 2025: One-month Forward Gilt Rate Peak 6.18%
Summary One-month forward Gilt rates peak at 6.18% this week, compared to 6.02% the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at 0.18%, compared to 0.173% one week prior. As a result, today’s simulation shows that the probability of...
COMMENTARY
Dealing with Structural Evolution
Dealing with Structural Evolution NEW YORK: December 2, 2024: Equity markets have been behaving as if U.S. economic growth is the main theme. In fact, U.S. equities have been outperforming other asset classes for over a decade. As a result, the 90-day correlation...
Economic Trick or Treat?
NEW YORK: November 4,2024: Economic headlines—including those about employment, inflation, and the stock market--have been generally upbeat and positive lately. The S&P 500 has set 47 record highs thus far in 2024. Household net worth marked another all-time high...
The Abrupt End of an Era
NEW YORK: October 1, 2024: September 2024 was a month for the history books. The Fed started its long-anticipated easing cycle by cutting the federal funds rate for the first time in four years. Leading up to the FOMC meeting, expectations for the size of the cut were...
Reflections on Jackson Hole
NEW YORK: Sept. 3, 2024: Jackson Hole, Wyoming is a place of great beauty, as well as the site of the annual policy symposium hosted by the Federal Reserve Bank of Kansas City. This year’s focus on monetary policy is especially significant because inflation has...
Emotion, Momentum and the Markets
NEW YORK, August 2, 2024: July has been quite a month. The Democrats selected a new candidate for president, former Federal Reserve President Bill Dudley called for immediate rate cuts amid recession concerns, and volatility spiked. After a brief sell-off, the...