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, March 27, 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, March 27, 2026: Mostly Like Range for 3-Month Bill at 1% to 2% in 10 Years
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 0.55% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 3.88% this week from...
SAS Weekly Treasury Simulation, March 6, 2026: 3-Month Bill Mostly Likely Range Drops 200 bp in 30 Months
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 0.28% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 3.56% this week from...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, February 27, 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, February 27, 2026: 3-Month Bill Decline Stays on Track to 1% to 2% in 30 Months
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 only 0.06% higher than the probability of being in the 0% to 1% range. Treasury 2-year yields moved to 3.38% this week...
Iran Shock Meets a Frozen Labor Market
The Iran-war energy shock arrived at a fragile moment in the U.S. labor market. It was not because layoffs were surging, but because the labor market had shifted into a “low-hire, low-fire” equilibrium. The driving forces behind the unusual labor situation have been a...
The Credibility Risk in Credit
February saw a modest widening in public credit spreads: the ICE BofA U.S. Corporate (IG) OAS widened from 75 bps at January month-end to 86 bps at February month-end, while the ICE BofA U.S. High Yield OAS widened from 288 bps to 312 bps. Equity markets were little...
Divergence in Credit Conditions: Index-Level Resilience vs Typical-Firm Strain
Markets opened 2026 with risk appetite intact, and early performance patterns suggested leadership may be broadening beyond the mega-caps (January: S&P 500 +1.4% vs Russell 2000 +5.3%). Risk assets continued to reward scale, liquidity, and perceived cash flow...
The Narrowing Definition of “Winner”
December capped a year in which headline growth and risk-on positioning coexisted with rising under-the-surface strain—a late-cycle mix that kept markets calm while widening the gap between credit “winners” and “losers.” Continuing the trends of outperformance, the US...
Three Years Post ChatGPT
November 30th marked the three-year anniversary since the public release of ChatGPT. Back then, the S&P 500 stood at 3,950 compared to its most recent close of 6,849 – a 73% increase and $24T gain in total market cap. Meanwhile, Nvidia’s most recent net income...
ANALYTICS
KRIS Default Probabilities versus Credit Ratings
SAS Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
EVENTS
- April
- 27 – 30 APR | SAS Innovate 2026
- May
- 14 MAY | BattleFin Discovery Day New York
- June
- 11 JUNE | Neudata – New York Summer Data Summit 2026
- September
- 24 SEP | BattleFin Discovery Day London