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 42,500 public firms in 76 countries that have an annualized one-month default risk of over one percent.
DAILY
KRIS Default Probabilities versus
Legacy Ratings
SAS Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
RESEARCH
SAS Weekly Japanese Government Bond and Yen Simulation, March 21, 2025: Term Premium for 10 Years and Under Approaching Normal Levels
Summary The median level for the yen-U.S. dollar exchange rate is 150.31 one year from now, compared to 149.80 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 Simulation, March 21, 2025: Most Likely Range for 3-Month Yield Reverts to 0% to 1% in 2035
Summary Treasury 2-year yields moved to 3.94% this week from 3.95% last week. At 10 years, this week’s yield is 4.25%, compared with 4.24% last week. As a result, the current 2-year/10-year Treasury spread is now 0.31% compared to 0.29% last week. The maximum...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, March 14, 2025: One-Month Forward Rate Peak Up to 6.48%
Summary One-month forward Gilt rates peaked at 6.48% this week, compared to 6.21% the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at 0.502%, compared to 0.445% one week prior. As a result, today’s simulation shows that the peak...
SAS Weekly Bund Yield and Euro Simulation, March 14, 2025: Median Euro Exchange Rate 1.0894 One Year Forward
Summary The 2-year/10-year Bund spread closed the week at a positive 0.692%, a change from 0.585% last week. As a result, today’s simulation shows that the maximum probability of a return to negative spreads is 26.1%, compared to 26.7% in the prior week, in the 91-day...
SAS Weekly Japanese Government Bond and Yen Simulation, March 14, 2025: Measuring the Implications of a Steeper Yield Curve
Summary The median level for the yen-U.S. dollar exchange rate is 149.80 one year from now, compared to 150.35 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...
COMMENTARY
A Tug of War in U.S. Markets
NEW YORK: March 3, 2025: U.S. stocks now make up 65% of the global equity market – their highest weighting in history[1]. The second-largest contributor (by market capitalization) is Japan, at a far-distant 5%. Not surprisingly, U.S. equities play an outsize role in...
Lead, Follow, or Buy Bonds?
NEW YORK: February 3, 2025: Bob Dylan famously sang, “You don’t need a weatherman to know which way the wind blows”. The market started the new year on a roller coaster, with the S&P 500 hitting an all-time high, then selling off on news of a new AI model from...
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...
EVENTS
- 18 MAR | Transform Finance: 5th Annual FinCrime Leaders Summit UK
- 19-21 MAR | AML Partnership Forum 2025
- 20 MAR 9:30am ET | Live Webinar: | Driving Tax Administration Excellence: 2025 Strategies
- 23 MAR | Environmental Council of the States
- 27 MAR | SAS ALM Connect
- 27 MAR | SAS Canada AML Executive Roundtable
- 01–02 APR | In-Person Event: Fraud Fight Club Hospitality Events
- 01 APR 12pm ET | Live Webinar: | No Fooling: 2025 Insurance Trends That Matter
- 14 APR | Future Risk Forum Malaysia
- 16 APR 12pm ET | Live Webinar: | Not All Heros Wear Capes: How AI and Data Help Stop Money Laundering in the Opioid Crisis
- 28 APR–30 APR | In-Person Event: ACAMS Hollywood
- 30 APR | MRM and AI Governance Connection
- 30 APR–2 MAY | 2025 State Healthcare IT Connect Summit
- 6-9 MAY | SAS Innovate 2025
- 20-21 MAY | European Police Congress 2025