Kamakura Corporation

We are thrilled that Kamakura was acquired by global AI and analytics leader SAS on June 24, 2022.

[Kamakura Corporation @KamakuraCo]

@USTreasury maximum smoothness 1-month forward rates peak at 4.53%, down 0.12%. Available for government yield curves in 13 countries, updated daily. Daily data since 1962 (USA), 1974 (#Japan) & 1979 (#UK)
KRIS Rate Info
https://t.co/icZ7iLXcU4
#ALM @federalreserve

[Kamakura Corporation @KamakuraCo]

U.S. corporate bond market, fixed-rate bond trading volume by matched-maturity Kamakura Default Probability (“KDP”) level:
https://t.co/XEIfbY80UH
#bonds $AGG $BND #credit #creditratings @SASsoftware

[Kamakura Corporation @KamakuraCo]

The median number of days since a change in #creditratings is up 3 days at 1,644 days for 2655 public firms. By contrast, KRIS® updates default probabilities for 41,600 public firms, 4900 U.S. banks & 183 sovereigns every day.
https://t.co/TTDyZTAyXg
#creditrisk @SASsoftware

[Kamakura Corporation @KamakuraCo]

DAILY MODEL VALIDATION from @SASsoftware
Out-of-sample cross-validation of default probabilities using #bond prices:
https://t.co/L9digpuGS5
Performance attribution:
https://t.co/Ekf8wVcyqx
Modern KRIS® probability of default versus legacy #creditratings
https://t.co/TTDyZTAyXg

[Kamakura Corporation @KamakuraCo]

DAILY MODEL VALIDATION from @SASsoftware
Out-of-sample cross-validation of default probabilities using #bond prices:
https://t.co/L9digpuGS5
Performance attribution:
https://t.co/Ekf8wVcyqx
Modern KRIS® probability of default versus legacy #creditratings
https://t.co/TTDyZTAyXg

[Kamakura Corporation @KamakuraCo]

KRIS® provides daily out-of-sample cross-validation between default probabilities, bond price & spread
https://t.co/AUVnhmfijp
Example: @TD_Canada
https://t.co/FgoRIkiS3s
#credit #creditrisk #bonds @bankofcanada @OSFICanada @SASsoftware

[Kamakura Corporation @KamakuraCo]

Probability of negative 3-month Treasury bill rates 30 years forward. 500,000 scenarios, Kamakura 10-factor HJM model, daily data 1962 to September 30, 2022
Info
https://t.co/v8gljK9Acg
#ALM @USTreasury @federalreserve @SASsoftware

[Kamakura Corporation @KamakuraCo]

@USTreasury maximum smoothness 1-month forward rates peak at 4.65%, down 0.10%. Available for government yield curves in 13 countries, updated daily. Daily data since 1962 (USA), 1974 (#Japan) & 1979 (#UK)
KRIS Rate Info
https://t.co/icZ7iLXcU4
#ALM @federalreserve @SASsoftware

[Kamakura Corporation @KamakuraCo]

Weekly Forecast, December 9, 2022: Distribution of 10-year Treasury Yield 10 Years Forward
https://t.co/v8gljK9Acg
#ALM @USTreasury @federalreserve @SASsoftware

[Kamakura Corporation @KamakuraCo]

The Corporate Bond Investor brings advanced Kamakura fixed income analytics to sophisticated individual investors. Today’s best value issuers include @anglogoldashan
https://t.co/V3xD8Nv6l2
#credit #creditrisk @SASsoftware

[Kamakura Corporation @KamakuraCo]

Weekly Forecast, December 9, 2022: Distribution of 3-month Treasury bill yields 10 years forward using 500,000 scenarios:
https://t.co/v8gljK9Acg
#ALM @USTreasury @federalreserve @SASsoftware

[Kamakura Corporation @KamakuraCo]

Weekly Forecast, December 9, 2022: Distribution of 3-month Treasury bill yields 10 years forward using 500,000 scenarios:
https://t.co/v8gljK9Acg
#ALM @USTreasury @federalreserve @SASsoftware

[Kamakura Corporation @KamakuraCo]

Probability of inverted 2 year/10 year Treasury yields 20 years forward. 500,000 scenarios, Kamakura 10-factor HJM model, daily data 1962 to September 30, 2022, stochastic volatility.
Info
https://t.co/v8gljK9Acg
@USTreasury @federalreserve @SASsoftware

[Kamakura Corporation @KamakuraCo]

Among the riskiest public firms in southeast Asia, there were 10 increases and 9 decreases in KRIS® 1-year default probabilities today
https://t.co/0ZtjIyJ4nD
#credit #creditrisk #Singapore #Thailand #Malaysia #Indonesia #Philippines @BNM_official @MAS_sg @ADB_HQ @SASsoftware

[Kamakura Corporation @KamakuraCo]

Among the riskiest public firms in #China, #HongKong, #Japan, #Korea and #Taiwan, there were 9 increases & 10 decreases in KRIS® 1-year default probabilities today https://t.co/0ZtjIyJ4nD
#credit #creditrisk #Asia @BankOfJapan @bankof_korea @SASJapan @SASsoftware

[Kamakura Corporation @KamakuraCo]

#CHINA US DOLLAR CORPORATE BOND MONITOR:
Friday traded USD prices for the 20 lowest-priced bonds from Chinese issuers:
KRIS® info
https://t.co/0ZtjIyJ4nD
#credit #creditrisk #default @SASsoftware

[Kamakura Corporation @KamakuraCo]

The KRIS Troubled Company Index shows daily worldwide corporate credit conditions unchanged at the 98th percentile, 1990 to 2022, with 100 indicating best conditions.
KRIS®
https://t.co/O4CYlOWv3z
https://t.co/Ekf8wVcyqx
#credit @federalreserve @USTreasury @SASsoftware

[Kamakura Corporation @KamakuraCo]

There were 10 increases and 9 declines among 1-year KRIS® default probabilities for the riskiest public firms in the #UK today
https://t.co/0ZtjIyJ4nD
#credit #creditrisk #bonds #corporatebonds #CVA @bankofengland @SASsoftwareUKI @SASsoftware

[Kamakura Corporation @KamakuraCo]

#Japan auctions 5-year government bonds to yield 0.125% at the lowest accepted price. Into positive territory after a long time underwater.
Ministry of Finance:
https://t.co/NTjdlwB8Sd
Photo: @blue_hour_shonan
#bonds #JGB @MOF_Japan @BankOfJapan @SASJapan @SASsoftware

[Kamakura Corporation @KamakuraCo]

“Is rate volatility constant (non-random)? It is in Hull-White & Ho & Lee models.” No. Using daily government yields in 13 countries, 1962 to November 30, 2022, volatility rises as rates rise.
KRIS® rate info
https://t.co/icZ7iLXcU4
#ALM @ecbnews_ @bundesbank @SASsoftware