#  @dvandeventer Donald van Deventer Donald van Deventer posts on X about default risk, new zealand, federal reserve, euro the most. They currently have [------] followers and [----] posts still getting attention that total [---------] engagements in the last [--] hours. ### Engagements: [---------] [#](/creator/twitter::19619569/interactions)  - [--] Week [----------] +833,731% - [--] Month [----------] +272,041% - [--] Months [----------] +33,326% - [--] Year [----------] +30,671% ### Mentions: [--] [#](/creator/twitter::19619569/posts_active)  - [--] Month [---] +36% - [--] Months [---] +14% - [--] Year [-----] +125% ### Followers: [------] [#](/creator/twitter::19619569/followers)  - [--] Week [-----] +0.08% - [--] Month [-----] -0.04% - [--] Months [-----] +1.90% - [--] Year [-----] +5.20% ### CreatorRank: undefined [#](/creator/twitter::19619569/influencer_rank)  ### Social Influence **Social category influence** [finance](/list/finance) [countries](/list/countries) [stocks](/list/stocks) [currencies](/list/currencies) [cryptocurrencies](/list/cryptocurrencies) [automotive brands](/list/automotive-brands) [travel destinations](/list/travel-destinations) [technology brands](/list/technology-brands) [ncaa football](/list/ncaa-football) [financial services](/list/financial-services) **Social topic influence** [default risk](/topic/default-risk), [new zealand](/topic/new-zealand), [federal reserve](/topic/federal-reserve), [euro](/topic/euro), [singapore](/topic/singapore), [japan](/topic/japan), [thailand](/topic/thailand), [australia](/topic/australia), [united kingdom](/topic/united-kingdom), [liquidity](/topic/liquidity) **Top assets mentioned** [PacWest Bancorp (PACW)](/topic/$pacw) [Walrus (WAL)](/topic/$wal) [Valley National Bancorp (VLY)](/topic/$vly) [Aon PLC (AON)](/topic/$aon) [Equinix Inc (EQIX)](/topic/$eqix) [British American Tobacco (BTI)](/topic/$bti) [Welltower Inc (WELL)](/topic/welltower) [MUX Protocol (MCB)](/topic/$mcb) [WELL3 (WELL)](/topic/$well) [The Toronto-Dominion Bank (TD)](/topic/$td) [Willis Towers Watson Public Limited Company Ordinary Shares (WTW)](/topic/$wtw) [ThunderCore (TT)](/topic/$tt) [Gaming and Leisure Properties, Inc. (GLPI)](/topic/$glpi) [Trane Technologies PLC (TT)](/topic/trane-tech) [Main Street Capital Corporation (MAIN)](/topic/$main) [April (APRIL)](/topic/april) [Royal Bank of Canada (RY)](/topic/$ry) [Omega Healthcare Investors Inc. (OHI)](/topic/$ohi) [Crane Holdings, Co. (CR)](/topic/$cr) [Comcast Corporation (CMCSA)](/topic/$cmcsa) [Steris, PLC. (STE)](/topic/$ste) [American Tower Corp (AMT)](/topic/$amt) [EPR Properties (EPR)](/topic/$epr) [Blue Owl Capital Corporation (OBDC)](/topic/$obdc) [Veno Finance (VNO)](/topic/$vno) ### Top Social Posts Top posts by engagements in the last [--] hours "How the mighty have fallen-Citigroup market cap less than market cap of Shiga Bank (not kidding) in Japan accordin http://twitpic.com/1h9ht2" [X Link](https://x.com/dvandeventer/status/12571925447) 2010-04-21T11:52Z [----] followers, [--] engagements "Traded prices for @BankSilicon $SIVBQ: KRIS info #credit #creditrisk #default @SASsoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/" [X Link](https://x.com/dvandeventer/status/1666540579520409600) 2023-06-07T20:20Z [----] followers, [--] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities Amcor PLC (Australia) bonds due [----] $AMCR #credit #creditrisk #creditratings @SASSoftware @APRAInfo @RBAInfo https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1821295285655760905) 2024-08-07T21:20Z [----] followers, [--] engagements "Term structure of KRISannualized default probabilities and traded credit spreads (blue) for Amcor PLC (Australia) bonds $AMCR #credit #creditrisk #creditratings @SASSoftware @APRAInfo @RBAInfo https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1821347843732312525) 2024-08-08T00:48Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $WTW Willis Towers Watson credit creditrisk creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1895615017191416312) 2025-02-28T23:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $WTW Willis Towers Watson credit credit risk credit ratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1900688443677831410) 2025-03-14T23:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Yara International ASA bonds credit risk credit ratings @SASSoftware Norway https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1935794767637381261) 2025-06-19T20:20Z [----] followers, [---] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Welltower Inc. $WELL credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1969209947234632053) 2025-09-20T01:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Swedish Krona/Dollar FX Rate Simulation October [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint Swedish Government Bond and Treasury Yield Simulations ALM IBSM @Riksbanken @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-october-31-2025/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-october-31-2025/" [X Link](https://x.com/dvandeventer/status/1985970379974664293) 2025-11-05T07:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Welltower $WELL credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1986877614313648327) 2025-11-07T19:25Z [----] followers, [---] engagements "Actual standard deviation of 91-day percentage changes in U.S. Dollar value of [--] Swedish Krona versus normal distribution ALM IBSM @SASSoftware @Riksbanken http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1987782328605696074) 2025-11-10T07:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Emaar Properties Dubai credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1989458369036320930) 2025-11-14T22:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Steel Dynamics $STLD credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1991255209431969996) 2025-11-19T21:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Sibanye-Stillwater Limited ZAF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1991925904252039636) 2025-11-21T17:45Z [----] followers, [--] engagements "GreatWest Lifeco 1year Default Risk 0.04% Up 0.02% Today http://t.co/A5d1lkCL %GWO %MCO %MHP http://stock.ly/7fj2g7 http://stock.ly/7fj2g7" [X Link](https://x.com/dvandeventer/status/199572046315913216) 2012-05-07T18:50Z [----] followers, [--] engagements "Empirical and Risk-Neutral Swedish Krona/Dollar FX Rate Simulation November [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint Swedish Government Bond and Treasury Yield Simulations ALM IBSM @Riksbanken @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-november-28-2025/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-november-28-2025/" [X Link](https://x.com/dvandeventer/status/1996119765123838332) 2025-12-03T07:30Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: HCA Healthcare Inc. $HCA credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1999650530834915488) 2025-12-13T01:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation December [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2002972422639677584) 2025-12-22T05:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation December [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2003289505147625718) 2025-12-23T02:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/" [X Link](https://x.com/dvandeventer/status/2008710222135673277) 2026-01-07T01:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/" [X Link](https://x.com/dvandeventer/status/2008891430098420173) 2026-01-07T13:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $WTW Willis Towers Watson PLC credit risk credit ratings @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2009706797334942208) 2026-01-09T19:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2010552368648143350) 2026-01-12T03:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/" [X Link](https://x.com/dvandeventer/status/2010854356426354697) 2026-01-12T23:20Z [----] followers, [---] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Sibanye-Stillwater Ltd. ZAF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2011518775753921011) 2026-01-14T19:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/" [X Link](https://x.com/dvandeventer/status/2011639531917697301) 2026-01-15T03:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Thai Baht/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Thai Government and U.S. Treasury Yield Simulations ALM IBSM Bank of Thailand @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/" [X Link](https://x.com/dvandeventer/status/2011669726431203590) 2026-01-15T05:20Z [----] followers, [--] engagements "Euro FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Bund and Treasury Yield Simulations ALM IBSM @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/" [X Link](https://x.com/dvandeventer/status/2011760323972231354) 2026-01-15T11:20Z [----] followers, [--] engagements "Pound Sterling FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Gilt and Treasury Yield Simulations ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/" [X Link](https://x.com/dvandeventer/status/2011790531152531868) 2026-01-15T13:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $TT Trane Technologies PLC credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2012303906789847134) 2026-01-16T23:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Thai Baht/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Thai Government and U.S. Treasury Yield Simulations ALM IBSM Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2013119279646851154) 2026-01-19T05:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/" [X Link](https://x.com/dvandeventer/status/2013451467298844701) 2026-01-20T03:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/" [X Link](https://x.com/dvandeventer/status/2013632664285130767) 2026-01-20T15:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Pound Sterling/Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Gilt and Treasury Yield Simulations ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/" [X Link](https://x.com/dvandeventer/status/2013934654806458440) 2026-01-21T11:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Willis Towers Watson PLC $WTW credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2014840623971344819) 2026-01-23T23:20Z [----] followers, [--] engagements "Actual standard deviation of 91-day percentage changes in U.S. Dollar value of [--] Swedish Krona versus normal distribution ALM IBSM @SASSoftware @Riksbanken http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2015686190322553180) 2026-01-26T07:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2016881700253446223) 2026-01-29T14:30Z [----] followers, [--] engagements "KRIS from @SASSoftware provides daily out-of-sample cross-validation between default probabilities bond prices & spreads. Journal of Financial and Quantitative Analysis August [----] Example: @ABBVIE https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265" [X Link](https://x.com/dvandeventer/status/2017045150288040440) 2026-01-30T01:20Z [----] followers, [--] engagements "Why do the world's smartest institutional investors in equities and fixed income securities use the KRIS default probability and fixed income service Edwards Deming answered that question perfectly. @SASSoftware credit risk credit ratings IFRS9 CVA http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017105544943665609) 2026-01-30T05:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Adani Ports & Special Economic Zone Ltd. India credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017135742649032807) 2026-01-30T07:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017290496654094674) 2026-01-30T17:35Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco credit risk credit ratings @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017377335507407249) 2026-01-30T23:20Z [----] followers, [--] engagements "Term structure of traded bond spreads (blue) versus annualized KRIS default probabilities for $BTI $BTAFF British American Tobacco credit risk credit ratings bonds corporatebonds IFRS9 @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017407535955747170) 2026-01-31T01:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018041719984423365) 2026-02-01T19:20Z [----] followers, [--] engagements "New Zealand Treasury Bonds maximum smoothness forward rates & zero coupon yields consistent with par coupon yields via SAS ALM/KRM version 11.0.1 @SASSoftware Info ALM IBSM @SASSoftware @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018071916699922909) 2026-02-01T21:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated January [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018132308822212819) 2026-02-02T01:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018162510159856121) 2026-02-02T03:20Z [----] followers, [--] engagements "Distribution of empirical & risk neutral Thai 3-month bill rates [--] year forward. [-----] scenarios 12-factor HJM++ model daily data 1962- November [--] [----] stochastic volatility. ALM IBSM Bank of Thailand @SASSoftware Thailand http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018192708687257784) 2026-02-02T05:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018313507272282540) 2026-02-02T13:20Z [----] followers, [--] engagements "The Expected Cumulative Default Rate from SAS Institute Inc. the only daily index of the credit quality of rated firms worldwide shows the 1-year unchanged at 0.45% & 10-year up 0.02% at 6.93%. KRIS @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018343712397394013) 2026-02-02T15:20Z [----] followers, [--] engagements "Treasury 3-month HJM++ Simulation January [--] 2026: Long-term Peak in 1-Month Forward Rates Up 0.12% to 6.03% ALM IBSM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/" [X Link](https://x.com/dvandeventer/status/2018373913026199900) 2026-02-02T17:20Z [----] followers, [--] engagements "This is the calculation that failed Metropolitan Capital Bank and Trust couldn't do. Treasury 3-month HJM++ Simulation January [--] 2026: ALM IBSM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/" [X Link](https://x.com/dvandeventer/status/2018404112199512437) 2026-02-02T19:20Z [----] followers, [--] engagements "Example New Zealand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @ReserveBankofNZ New Zealand Debt Management https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018434307136569361) 2026-02-02T21:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated January [--] [----] shows the cumulative probability of default for 5-year Australian Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @RBAInfo @APRAInfo @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018464502149198120) 2026-02-02T23:20Z [----] followers, [--] engagements "Example Japan HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @Bank_of_Japan_j @MOF_Japan @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018494700919890361) 2026-02-03T01:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018524900974043160) 2026-02-03T03:20Z [----] followers, [--] engagements "Example Thailand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware Bank of Thailand https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018555098574598156) 2026-02-03T05:20Z [----] followers, [--] engagements "Example: Sweden Optimal HJM++ Hedge of 10-Year 5% Bond Using Par Coupon Bonds January [--] [----] ALM IBSM @SASSoftware @Riksbanken https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018585295424209292) 2026-02-03T07:20Z [----] followers, [--] engagements "Example Germany HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018615494379508213) 2026-02-03T09:20Z [----] followers, [--] engagements "Example: United Kingdom Optimal HJM++ Hedge of 10-Year 5% Bond Using One Par Coupon Bond and One Zero Coupon Bond Reveals a Perfect Hedge January [--] [----] @BankofEngland @SASSoftwareUKI ALM IBSM @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018645693141840221) 2026-02-03T11:20Z [----] followers, [--] engagements "Example: Canada: Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] ALM IBSM @SASSoftware @BankofCanada @OSFICanada https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018675894227759551) 2026-02-03T13:20Z [----] followers, [--] engagements "Joint simulation of 5-year zero-coupon U.S. Treasury and Canadian Government Bond yields [--] year forward. [-----] scenarios 12-factor HJM++ model daily data 1962- August [--] [----] stochastic volatility ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018706095846441265) 2026-02-03T15:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ New Zealand Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM IBSM @ReserveBankofNZ New Zealand Debt Management @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2018766492746068332) 2026-02-03T19:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Australian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Australia Government and U.S. Treasury Yield Simulations ALM IBSM @RBAInfo @APRAInfo @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-december-5-2025/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-december-5-2025/" [X Link](https://x.com/dvandeventer/status/2018796693261623343) 2026-02-03T21:20Z [----] followers, [--] engagements "Example Australia HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @RBAInfo @APRAInfo https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018826892669800704) 2026-02-03T23:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated January [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018857090370937175) 2026-02-04T01:20Z [----] followers, [--] engagements "Example Singapore HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @MAS_sg https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018887290878099639) 2026-02-04T03:20Z [----] followers, [--] engagements "Example Thailand: Hedge by Number of Zero Coupon Bonds of 5% 10-Year Bond HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] ALM IBSM @SASSoftware Bank of Thailand https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018917481973158298) 2026-02-04T05:20Z [----] followers, [--] engagements "Example: Sweden Optimal HJM++ Hedge of 10-Year 5% Bond Using Par Coupon Bonds January [--] [----] ALM IBSM @SASSoftware @Riksbanken https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018947685710000185) 2026-02-04T07:20Z [----] followers, [--] engagements "Example: Germany Optimal HJM++ Hedge of 10-Year 5% Bond Using One Par Coupon Bond and One Zero Coupon Bond Reveals a Perfect Hedge January [--] [----] @Bundesbank @ECB_Research @EBA_News ALM IBSM @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2018977882538705179) 2026-02-04T09:20Z [----] followers, [--] engagements "Got Monte Carlo If your ALM vendor has it but it doesnt work you need SAS ALM/KRM and SAS more than two decades of multinational Monte Carlo simulation experience. Example: United Kingdom @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2019008083339493461) 2026-02-04T11:20Z [----] followers, [--] engagements "HJM++ joint simulation of 10-year zero-coupon Treasury and Gilt yields [--] year forward. [-----] scenarios 12-factor HJM++ model daily data 1962- August [--] [----] stochastic volatility ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/" [X Link](https://x.com/dvandeventer/status/2019038289714434472) 2026-02-04T13:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019068490754204049) 2026-02-04T15:20Z [----] followers, [--] engagements "Which is more accurate in predicting movements in rates A [--] [--] [--] [--] or 7-factor term structure model [--] factors (blue) by far New Zealand Treasury Securities daily June [------] to January [--] [----] @SASSoftware ALM @ReserveBankofNZ @SASsoftware New Zealand Debt Management https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/" [X Link](https://x.com/dvandeventer/status/2019128889923014990) 2026-02-04T19:20Z [----] followers, [--] engagements "Which is more accurate in predicting movements in rates A [--] [--] [--] [--] or 7-factor term structure model [--] factors (blue) by far New Zealand Treasury Securities daily June [------] to January [--] [----] @SASSoftware ALM @ReserveBankofNZ @SASsoftware New Zealand Debt Management https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/" [X Link](https://x.com/dvandeventer/status/2019159082821718206) 2026-02-04T21:20Z [----] followers, [--] engagements "New Zealand government zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/KRM version 11.0.1 June [--] [----] to January [--] [----] daily. @SASSoftware ALM @ReserveBankofNZ New Zealand Debt Management https://www.kamakuraco.com/ https://www.kamakuraco.com/" [X Link](https://x.com/dvandeventer/status/2019189284700315785) 2026-02-04T23:20Z [----] followers, [--] engagements "Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model New Zealand Treasury bonds daily 1987-2026 @SASSoftware ALM ICAAP FRTB @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019249674914341125) 2026-02-05T03:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Vasicek Hull-White and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. KRIS info: @SASsoftware FRTB ICAAP New Zealand Debt Management @ReserveBankofNZ http://Kamakuraco.com http://Kamakuraco.com http://Kamakuraco.com http://Kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019279874351874135) 2026-02-05T05:20Z [----] followers, [--] engagements "Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Swedish government bonds daily 1987-2026 with stochastic volatility @riksbanken @SASsoftware https://www.kamakuraco.com/ https://www.kamakuraco.com/" [X Link](https://x.com/dvandeventer/status/2019310078273212559) 2026-02-05T07:20Z [----] followers, [--] engagements "Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Swedish government bonds daily 1987-2026 with stochastic volatility @riksbanken @SASsoftware https://www.kamakuraco.com/ https://www.kamakuraco.com/" [X Link](https://x.com/dvandeventer/status/2019340278176358810) 2026-02-05T09:20Z [----] followers, [--] engagements "Swedish government bond zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/Kamakura Risk Manager version 11.0.1 Kamakura Risk Information Services 1987-2026 daily ALM ICAAP IRRBB FTP FRTB Sweden @Riksbanken @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019370468696879168) 2026-02-05T11:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Sweden SverigesRiksbank @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019461072915153094) 2026-02-05T17:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Sweden SverigesRiksbank @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019491272344420385) 2026-02-05T19:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019521467377934378) 2026-02-05T21:20Z [----] followers, [--] engagements "Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Thailand government bonds daily 1999-2026 with stochastic volatility ALM ICAAP FRTB IRRBB interest rates Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019581862541164786) 2026-02-06T01:20Z [----] followers, [--] engagements "Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Thailand government bonds daily 1999-2026 with stochastic volatility ALM ICAAP FRTB IRRBB interest rates Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019612067880177729) 2026-02-06T03:20Z [----] followers, [--] engagements "Thailand government bond zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/KRM version 11.0.1 KRIS 1999-2026 daily ALM ICAAP FRTB Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019642270182502524) 2026-02-06T05:20Z [----] followers, [--] engagements "Number of statistically significant variables driving the yield curve Heath Jarrow & Morton model [--] factors Thai government bonds daily 1999-2026 with stochastic volatility ALM ICAAP FRTB FTP IRRBB Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019672459474006410) 2026-02-06T07:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019732861142610187) 2026-02-06T11:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019763064527114391) 2026-02-06T13:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019793259434737668) 2026-02-06T15:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019823469156778454) 2026-02-06T17:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco $BTI $BTAFF @SASSoftwareUKI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019853659727651228) 2026-02-06T19:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco $BTI $BTAFF @SASSoftwareUKI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019883855197487337) 2026-02-06T21:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Equinix Inc $EQIX credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019914047643127975) 2026-02-06T23:20Z [----] followers, [--] engagements "Example Germany HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021152214186615234) 2026-02-10T09:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Linde PLC $LIN credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1951437839264051358) 2025-08-02T00:20Z [----] followers, [---] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Linde PLC $LIN credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1958972493496033663) 2025-08-22T19:20Z [----] followers, [----] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @AON_PLC $AON credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1997019309332205754) 2025-12-05T19:04Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $AON PLC credit risk credit ratings @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2009736997716324806) 2026-01-09T21:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Lamar Advertising $LAMR India credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017352077001847242) 2026-01-30T21:39Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Equinix Inc. $EQIX credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2017437736785911960) 2026-01-31T03:20Z [----] followers, [--] engagements "Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Swedish government bonds daily 1987-2026 ALM ICAAP FRTB FTP IRRBB Sweden Sveriges Riksbank @Riksbanken http://Kamakuraco.com http://Kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019430868629037096) 2026-02-05T15:20Z [----] followers, [--] engagements "Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Thailand government bonds daily 1999-2026 ALM ICAAP interest rates Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019702661335879870) 2026-02-06T09:20Z [----] followers, [--] engagements "Singapore government bond zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/Kamakura Risk Manager version 11.0.1 Kamakura Risk Information Services 1998-2026 daily ALM ICAAP IRRBB FTP FRTB @MAS_sg interest rates http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020548234117079140) 2026-02-08T17:20Z [----] followers, [--] engagements "New Zealand Treasury Bonds maximum smoothness forward rates & zero coupon yields consistent with par coupon yields via SAS ALM/KRM version 11.0.1 @SASSoftware Info ALM IBSM @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020578425723904177) 2026-02-08T19:20Z [----] followers, [--] engagements "Number and Order of HJM++ Factors Driving Japanese Government Bond Yields February [--] [----] ALM IBSM @Bank_of_Japan_j @Bank_of_Japan_e @MOF_Japan @SASSoftware @SASJapan http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020638832224309713) 2026-02-08T23:20Z [----] followers, [--] engagements "Which is more accurate in predicting forward rate moves A [--] [--] [--] [--] or 10-factor term structure model [--] factors (blue) by far Singapore governments daily 1998-2026 with stochastic volatility ALM IRRBB @MAS_sg interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020699223138709939) 2026-02-09T03:20Z [----] followers, [--] engagements "Number of statistically significant variables driving the yield curve Heath Jarrow & Morton model [--] factors Singapore government bonds daily 1998-2026 with stochastic volatility ALM ICAAP IRRBB FTP FRTB @MAS_sg interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020759623393788415) 2026-02-09T07:20Z [----] followers, [--] engagements "Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Singapore government bonds daily 1998-2026 ALM ICAAP interest rates @MAS_sg interest rates http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020789824572027120) 2026-02-09T09:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White and Ho and Lee model. No Here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Singapore MAS @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020820017088974996) 2026-02-09T11:20Z [----] followers, [--] engagements "ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White and Ho and Lee model. No Here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Singapore MAS @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020850220100104475) 2026-02-09T13:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2020877789440643452) 2026-02-09T15:09Z [----] followers, [--] engagements "Treasury 3-month HJM++ Simulation February [--] 2026: 3-Month Bill Rates 30-Month Decline to 1%-2% Range ALM IBSM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/" [X Link](https://x.com/dvandeventer/status/2020915378210111737) 2026-02-09T17:39Z [----] followers, [--] engagements "Example: United States Optimal HJM++ Hedge of 10-Year 5% Bond Using Par Coupon Bonds February [--] [----] ALM IBSM @SASSoftware @USOCC @USTreasury @federalreserve @FDIC_gov https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/" [X Link](https://x.com/dvandeventer/status/2020940825866211480) 2026-02-09T19:20Z [----] followers, [--] engagements "Example New Zealand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @ReserveBankofNZ New Zealand Debt Management https://ow.ly/zRET50YbWLS https://ow.ly/zRET50YbWLS" [X Link](https://x.com/dvandeventer/status/2020971018945175679) 2026-02-09T21:20Z [----] followers, [--] engagements "Example Australia HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @RBAInfo @APRAInfo https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021001214230397408) 2026-02-09T23:20Z [----] followers, [--] engagements "Example Japan HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @Bank_of_Japan_j @MOF_Japan @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021031413982593403) 2026-02-10T01:20Z [----] followers, [--] engagements "Example Singapore HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @MAS_sg https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021061610429706434) 2026-02-10T03:20Z [----] followers, [--] engagements "Example Thailand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware Bank of Thailand https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021091814107722113) 2026-02-10T05:20Z [----] followers, [--] engagements "Example Sweden HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @Riksbanken https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021122011091620147) 2026-02-10T07:20Z [----] followers, [--] engagements "Example United Kingdom HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @BankofEngland @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021182425389314134) 2026-02-10T11:20Z [----] followers, [--] engagements "Example Canada HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @BankofCanada @OSFICanada https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021212614810824968) 2026-02-10T13:20Z [----] followers, [--] engagements "Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2021242815691297143) 2026-02-10T15:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation February [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021273008657051695) 2026-02-10T17:20Z [----] followers, [--] engagements "Example: United States Optimal HJM++ Hedge of 10-Year 5% Bond Using One Par Coupon Bond and One Zero Coupon Bond Reveals a Perfect Hedge February [--] [----] ALM IBSM @SASSoftware @USOCC @USTreasury @federalreserve @FDIC_gov https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/" [X Link](https://x.com/dvandeventer/status/2021303209537462377) 2026-02-10T19:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral HJM++ New Zealand Dollar/U.S. Dollar FX Rate Simulation February [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM IBSM @ReserveBankofNZ New Zealand Debt Management @SASSoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/" [X Link](https://x.com/dvandeventer/status/2021333408803107062) 2026-02-10T21:20Z [----] followers, [--] engagements "Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Australia Government Securities daily January [--] [----] to January [--] [----] ALM @APRAinfo @RBAinfo @SASSoftware https://www.kamakuraco.com/ https://www.kamakuraco.com/" [X Link](https://x.com/dvandeventer/status/2021484399502512172) 2026-02-11T07:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: ATI inc. $ATI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2021644300577042550) 2026-02-11T17:55Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year New Zealand Treasury Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @ReserveBankofNZ @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021668967677387183) 2026-02-11T19:33Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year Australian Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @RBAInfo @APRAInfo @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021695798002528669) 2026-02-11T21:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021756185314017293) 2026-02-12T01:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Singapore Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021786391382761648) 2026-02-12T03:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year Swedish Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Riskbanken @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021846787015741538) 2026-02-12T07:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $AAMI Acadian Asset Management Inc. credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1951468038659711207) 2025-08-02T02:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Acadian Asset Management $AAMI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1959002691314569592) 2025-08-22T21:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Acadian Asset Management $AAMI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1960724043759231485) 2025-08-27T15:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Acadian Asset Management $AAMI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1961468946885837021) 2025-08-29T16:40Z [----] followers, [---] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: VICI Properties $VICI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1964076123962126360) 2025-09-05T21:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Trane_Tech $TT credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1974177683706704359) 2025-10-03T18:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Trane_Tech PLC credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1979314040460468337) 2025-10-17T22:30Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Crown Holdings $CCK credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/1991647801697038397) 2025-11-20T23:20Z [----] followers, [--] engagements "KRIS from @SASSoftware provides daily out-of-sample cross-validation between default probabilities bond prices & spreads. Journal of Financial and Quantitative Analysis August [----] Example: @TD_Canada $td https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265" [X Link](https://x.com/dvandeventer/status/2016350578981384330) 2026-01-28T03:20Z [----] followers, [--] engagements "@SASSoftware: Coupon payments are subordinate to principal because there is no recovery on coupons in default. See The Valuation of Corporate Coupon Bonds August [----] Journal of Financial and Quantitative Analysis Example: @TD_Canada $TD https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265" [X Link](https://x.com/dvandeventer/status/2016380774425993597) 2026-01-28T05:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Thai Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM Bank of Thailand @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021816588391809125) 2026-02-12T05:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Gilts funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021876994376421601) 2026-02-12T09:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for a bank holding 10-year Bunds funded with [--] [--] [--] or 20% equity and deposits ALM IBSM @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021907187958771952) 2026-02-12T11:20Z [----] followers, [--] engagements "The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year Canadian Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/" [X Link](https://x.com/dvandeventer/status/2021937388407120034) 2026-02-12T13:20Z [----] followers, [--] engagements "The Expected Cumulative Default Rate from SAS Institute Inc. the only daily index of the credit quality of rated firms worldwide shows the 1-year up 0.01% at 0.44% & 10-year up 0.08% at 6.85%. KRIS @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2021997791619223956) 2026-02-12T17:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Sasol Limited $SSL ZAF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2014870827863294129) 2026-01-24T01:20Z [----] followers, [---] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: ATI Inc. $ATI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019551663749496898) 2026-02-05T23:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: ATI inc. $ATI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2019944247126864162) 2026-02-07T01:20Z [----] followers, [--] engagements "Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco PLC $BTI $BTAFF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/dvandeventer/status/2022360187651097040) 2026-02-13T17:20Z [----] followers, [--] engagements "Actual standard deviation of 91-day percentage changes in U.S. Dollar value of [--] New Zealand Dollar versus normal distribution ALM IBSM @SASSoftware @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com" [X Link](https://x.com/anyuser/status/2023112624120934421) 2026-02-15T19:10Z [----] followers, [--] engagements "Traded bond spreads (blue) versus [--] & 10-year KRIS default probabilities (orange & green) for Biogen Inc. $BIIB bonds due [----] via #credit #creditrisk #creditratings #bonds #corporatebonds #riskmanagement #interestrates http://www.kris-online.com http://www.kris-online.com" [X Link](https://x.com/dvandeventer/status/1233493352735219712) 2020-02-28T20:45Z [----] followers, [--] engagements "The Kamakura Expected Cumulative Default Rate the only daily index of the credit quality of rated firms worldwide shows the 1-year rate down 0.13% at 3.87% and the 10-year up 0.30% at 21.73%. #riskmanagement #credit #creditrisk" [X Link](https://x.com/dvandeventer/status/1243228769571278850) 2020-03-26T17:30Z [----] followers, [--] engagements "The Kamakura Expected Cumulative Default Rate the only daily index of the credit quality of rated firms worldwide shows the 1-year rate down 0.13% at 3.87% and the 10-year up 0.30% at 21.73%. #riskmanagement #credit #creditrisk" [X Link](https://x.com/dvandeventer/status/1243698084238036998) 2020-03-28T00:35Z [----] followers, [--] engagements "BBI Blockbuster cumulative [--] year default risk down about 10% over the last few days on both version [--] and version http://twitpic.com/1h3lrx" [X Link](https://x.com/dvandeventer/status/12530726303) 2010-04-20T18:30Z [----] followers, [--] engagements "BANKRUPT: 1-year (blue) and 1-month KRIS default probabilities for Covia Holdings $CVIA versus ratings-implied default probability (gray) via #credit #creditrisk #creditratings http://www.kris-online.com http://www.kris-online.com" [X Link](https://x.com/dvandeventer/status/1278016756288761858) 2020-06-30T17:25Z [----] followers, [--] engagements "Traded bond spreads (blue) versus [--] & 10-year KRIS default probabilities (orange & green) for SBA Communications $SBAC bonds due [----] via #credit #creditrisk #creditratings #bonds #corporatebonds #riskmanagement #interestrates http://www.kris-online.com http://www.kris-online.com" [X Link](https://x.com/dvandeventer/status/1306327012664115202) 2020-09-16T20:20Z [----] followers, [--] engagements "KRIS is the only default probability and fixed income information system which provides daily cross-validation between default probabilities and bond prices & spreads. Example SBA Communications $SBAC bonds #credit #creditrisk #bonds #interestrates https://www.researchgate.net/publication/328676798_The_Valuation_of_Corporate_Coupon_Bonds https://www.researchgate.net/publication/328676798_The_Valuation_of_Corporate_Coupon_Bonds" [X Link](https://x.com/dvandeventer/status/1306387403473645568) 2020-09-17T00:20Z [----] followers, [--] engagements "Traded bond spreads (blue) 1-year & 10-year KRIS default probabilities for DuPont de Nemours $DD bonds due [----] via KRIS: #credit #creditrisk #creditratings #bonds #corporatebonds https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/" [X Link](https://x.com/dvandeventer/status/1408565682149724164) 2021-06-25T23:20Z [----] followers, [--] engagements "The Corporate Bond Investor brings advanced Kamakura fixed income analytics to sophisticated individual investors. Todays best value issuers include Biogen Inc.: #credit #creditrisk $BIIB https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/" [X Link](https://x.com/dvandeventer/status/1436409149869416451) 2021-09-10T19:20Z [----] followers, [--] engagements "The Corporate Bond Investor brings advanced Kamakura fixed income analytics to sophisticated individual investors. Todays best value issuers include $BTI $BTAFF #credit #creditrisk @SASsoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/" [X Link](https://x.com/dvandeventer/status/1591118607248932866) 2022-11-11T17:20Z [----] followers, [--] engagements "Japanese government bond zero coupon bond yields using maximum smoothness forward rate smoothing via Kamakura Risk Manager version [----] Kamakura Risk Information Services 1974-2023 daily #ALM #JGB @Bank_of_Japan_e @MOF_Japan @SASJapan @SASSoftware" [X Link](https://x.com/dvandeventer/status/1664502140172132353) 2023-06-02T05:20Z [----] followers, [--] engagements "Number of statistically significant variables driving the yield curve Heath Jarrow & Morton model [--] factors Japanese government bonds daily 1974-2023 with stochastic volatility #ALM #FRTB #interestrates #IRRBB #Japan @Bank_of_Japan_e @MOF_Japan @SASJapan @SASsoftware" [X Link](https://x.com/dvandeventer/status/1664547445550854145) 2023-06-02T08:20Z [----] followers, [--] engagements "KRIS provides daily out-of-sample cross-validation between default probabilities bond price & spread Issuers: All with at least [--] traded bonds and $100000 volume per bond #creditrisk #bonds @SASsoftware @AmericanTowerUS $AMT https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/ https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/" [X Link](https://x.com/dvandeventer/status/1669530276400070657) 2023-06-16T02:20Z [----] followers, [---] engagements "KRIS provides daily out-of-sample cross-validation between default probabilities bond price & spread Issuer: @mitsui_sumitomo #credit #creditrisk #bonds @SASsoftware @SASJapan https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/ https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/" [X Link](https://x.com/dvandeventer/status/1686592704031989760) 2023-08-02T04:20Z [----] followers, [---] engagements "KRIS provides daily out-of-sample cross-validation between default probabilities bond price & spread Issuer: @mitsui_sumitomo #credit #creditrisk #bonds @SASSoftware @SASJapan https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/ https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/" [X Link](https://x.com/dvandeventer/status/1704636607024816389) 2023-09-20T23:20Z [----] followers, [---] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for @Equinix bonds due [----] $EQIX #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/" [X Link](https://x.com/dvandeventer/status/1720687368569512431) 2023-11-04T06:20Z [----] followers, [--] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for $HIK Hikma Pharmaceuticals bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1784996139390968038) 2024-04-29T17:20Z [----] followers, [--] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for HIKMA Pharmaceuticals bonds due [----] #HIK #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1790794346138050687) 2024-05-15T17:20Z [----] followers, [--] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for Hikma Pharmaceuticals PLC bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1798402753066078391) 2024-06-05T17:13Z [----] followers, [--] engagements "NEW FROM SAS INSTITUTE INC.: The Valuation of Corporate Coupon Bonds forthcoming in the Journal of Financial and Quantitative Analysis Example: @RBC @RBC_CM $RY #credit #creditrisk #bonds @SASSoftware @BankofCanada https://www.kamakuraco.com/12688-2/ https://www.kamakuraco.com/12688-2/" [X Link](https://x.com/dvandeventer/status/1823513675925221824) 2024-08-14T00:15Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Equinix $EQIX bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1832106554360770862) 2024-09-06T17:20Z [----] followers, [--] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: #HIKMA Pharmaceuticals bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1838674828393345265) 2024-09-24T20:20Z [----] followers, [--] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for @BidvestG bonds due [----] $bvt #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1857534087457566855) 2024-11-15T21:20Z [----] followers, [---] engagements "Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @BidvestG bonds $BVT #credit #creditrisk #creditratings @SASSoftware #SouthAfrica https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1859693318369583515) 2024-11-21T20:20Z [----] followers, [--] engagements "Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for @Equinix bonds due [----] $EQIX #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1867623344603897958) 2024-12-13T17:31Z [----] followers, [--] engagements "Term structure of KRIS annualized default probabilities and traded credit spreads (blue) for @Equinix $EQIX #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1867661826994917681) 2024-12-13T20:04Z [----] followers, [--] engagements "Weekly Bund and Euro FX Simulation February [--] 2025: Median Euro FX Rate [------] One Year Forward ALM @Bundesbank @ECB_Research @EBA_News @SASSoftware https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/ https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/" [X Link](https://x.com/dvandeventer/status/1889273226456412580) 2025-02-11T11:20Z [----] followers, [--] engagements "Euro FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint Bund and Treasury Yield Simulations ALM @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/ https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/" [X Link](https://x.com/dvandeventer/status/1889333634731049005) 2025-02-11T15:20Z [----] followers, [--] engagements "Measuring the Term Premium in New Zealand Treasury Bonds February [--] 2025: Actual Zero Coupon Yields versus Expected Empirical 3-Month Cumulative Return ALM @ReserveBankofNZ @SASSoftware" [X Link](https://x.com/dvandeventer/status/1891266357469048872) 2025-02-16T23:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan" [X Link](https://x.com/dvandeventer/status/1891311655117582677) 2025-02-17T02:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan" [X Link](https://x.com/dvandeventer/status/1891341860532052111) 2025-02-17T04:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Swedish Krona/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint Swedish Government Bond and Treasury Yield Simulations ALM @Riksbanken @SASSoftware" [X Link](https://x.com/dvandeventer/status/1891372052386382251) 2025-02-17T06:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Bunds funded with 5% equity and 95% deposits ALM @Bundesbank @ECB_Research @EBA_News" [X Link](https://x.com/dvandeventer/status/1891809940899012754) 2025-02-18T11:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Gilts funded with [--] [--] [--] or 20% equity and bank deposits. ALM @BankofEngland @SASSoftware @SASSoftwareUKI" [X Link](https://x.com/dvandeventer/status/1891840138562474262) 2025-02-18T13:20Z [----] followers, [--] engagements "Treasury 3-month Simulation 2/14/2025: Most Likely Range for 10-Year Yield is 2% to 3% in [----] ALM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/" [X Link](https://x.com/dvandeventer/status/1891908423492526569) 2025-02-18T17:51Z [----] followers, [--] engagements "The default risk of interest rate mismatches shows the cumulative probability of default for 10-year Treasuries funded with 5% equity and 95% deposits ALM @USOCC @USTreasury @FederalReserve @FDIC_gov @SASSoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/" [X Link](https://x.com/dvandeventer/status/1891930741002359286) 2025-02-18T19:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/ https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/" [X Link](https://x.com/dvandeventer/status/1892036432304234545) 2025-02-19T02:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/ https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/" [X Link](https://x.com/dvandeventer/status/1892081739763208328) 2025-02-19T05:20Z [----] followers, [--] engagements "@SASSoftware: Coupon payments are subordinate to principal because there is no recovery on coupons in default. See The Valuation of Corporate Coupon Bonds May [----]. Soon in the Journal of Financial and Quantitative Analysis Example: $WFC https://www.kamakuraco.com/12688-2/ https://www.kamakuraco.com/12688-2/" [X Link](https://x.com/dvandeventer/status/1892444112978071889) 2025-02-20T05:20Z [----] followers, [--] engagements "Why is correlation between legacy ratings & traded bond spreads so low Ratings are (1) [---] years old (2) have no term structure (3) change every (median) [----] days (4) have bigger is better & issuer pays bias credit default @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/" [X Link](https://x.com/dvandeventer/status/1892580025444024358) 2025-02-20T14:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral New Zealand Dollar/U.S. Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM @ReserveBankofNZ @SASSoftware" [X Link](https://x.com/dvandeventer/status/1893772883471564952) 2025-02-23T21:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral New Zealand Dollar/U.S. Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Years Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM @ReserveBankofNZ @SASSoftware" [X Link](https://x.com/dvandeventer/status/1893803082334581048) 2025-02-23T23:20Z [----] followers, [--] engagements "Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan" [X Link](https://x.com/dvandeventer/status/1893848376329851260) 2025-02-24T02:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Bunds funded with 5% equity and 95% deposits ALM @Bundesbank @ECB_Research @EBA_News" [X Link](https://x.com/dvandeventer/status/1893954073415577791) 2025-02-24T09:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Gilts funded with [--] [--] [--] or 20% equity and bank deposits. ALM @BankofEngland @SASSoftware @SASSoftwareUKI" [X Link](https://x.com/dvandeventer/status/1893984274769977796) 2025-02-24T11:20Z [----] followers, [--] engagements "The default risk of interest rate mismatches shows the cumulative probability of default for 10-year Treasuries funded with 5% equity and 95% deposits ALM @USOCC @USTreasury @FederalReserve @FDIC_gov @SASSoftware" [X Link](https://x.com/dvandeventer/status/1894135273660764196) 2025-02-24T21:20Z [----] followers, [--] engagements Limited data mode. Full metrics available with subscription: lunarcrush.com/pricing
@dvandeventer Donald van Deventer
Donald van Deventer posts on X about default risk, new zealand, federal reserve, euro the most. They currently have [------] followers and [----] posts still getting attention that total [---------] engagements in the last [--] hours.
Engagements: [---------] #
- [--] Week [----------] +833,731%
- [--] Month [----------] +272,041%
- [--] Months [----------] +33,326%
- [--] Year [----------] +30,671%
Mentions: [--] #
- [--] Month [---] +36%
- [--] Months [---] +14%
- [--] Year [-----] +125%
Followers: [------] #
- [--] Week [-----] +0.08%
- [--] Month [-----] -0.04%
- [--] Months [-----] +1.90%
- [--] Year [-----] +5.20%
CreatorRank: undefined #
Social Influence
Social category influence finance countries stocks currencies cryptocurrencies automotive brands travel destinations technology brands ncaa football financial services
Social topic influence default risk, new zealand, federal reserve, euro, singapore, japan, thailand, australia, united kingdom, liquidity
Top assets mentioned PacWest Bancorp (PACW) Walrus (WAL) Valley National Bancorp (VLY) Aon PLC (AON) Equinix Inc (EQIX) British American Tobacco (BTI) Welltower Inc (WELL) MUX Protocol (MCB) WELL3 (WELL) The Toronto-Dominion Bank (TD) Willis Towers Watson Public Limited Company Ordinary Shares (WTW) ThunderCore (TT) Gaming and Leisure Properties, Inc. (GLPI) Trane Technologies PLC (TT) Main Street Capital Corporation (MAIN) April (APRIL) Royal Bank of Canada (RY) Omega Healthcare Investors Inc. (OHI) Crane Holdings, Co. (CR) Comcast Corporation (CMCSA) Steris, PLC. (STE) American Tower Corp (AMT) EPR Properties (EPR) Blue Owl Capital Corporation (OBDC) Veno Finance (VNO)
Top Social Posts
Top posts by engagements in the last [--] hours
"How the mighty have fallen-Citigroup market cap less than market cap of Shiga Bank (not kidding) in Japan accordin http://twitpic.com/1h9ht2"
X Link 2010-04-21T11:52Z [----] followers, [--] engagements
"Traded prices for @BankSilicon $SIVBQ: KRIS info #credit #creditrisk #default @SASsoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/"
X Link 2023-06-07T20:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities Amcor PLC (Australia) bonds due [----] $AMCR #credit #creditrisk #creditratings @SASSoftware @APRAInfo @RBAInfo https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-08-07T21:20Z [----] followers, [--] engagements
"Term structure of KRISannualized default probabilities and traded credit spreads (blue) for Amcor PLC (Australia) bonds $AMCR #credit #creditrisk #creditratings @SASSoftware @APRAInfo @RBAInfo https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-08-08T00:48Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $WTW Willis Towers Watson credit creditrisk creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2025-02-28T23:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $WTW Willis Towers Watson credit credit risk credit ratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2025-03-14T23:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Yara International ASA bonds credit risk credit ratings @SASSoftware Norway https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2025-06-19T20:20Z [----] followers, [---] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Welltower Inc. $WELL credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-09-20T01:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Swedish Krona/Dollar FX Rate Simulation October [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint Swedish Government Bond and Treasury Yield Simulations ALM IBSM @Riksbanken @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-october-31-2025/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-october-31-2025/"
X Link 2025-11-05T07:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Welltower $WELL credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-11-07T19:25Z [----] followers, [---] engagements
"Actual standard deviation of 91-day percentage changes in U.S. Dollar value of [--] Swedish Krona versus normal distribution ALM IBSM @SASSoftware @Riksbanken http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-11-10T07:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Emaar Properties Dubai credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-11-14T22:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Steel Dynamics $STLD credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-11-19T21:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Sibanye-Stillwater Limited ZAF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-11-21T17:45Z [----] followers, [--] engagements
"GreatWest Lifeco 1year Default Risk 0.04% Up 0.02% Today http://t.co/A5d1lkCL %GWO %MCO %MHP http://stock.ly/7fj2g7 http://stock.ly/7fj2g7"
X Link 2012-05-07T18:50Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Swedish Krona/Dollar FX Rate Simulation November [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint Swedish Government Bond and Treasury Yield Simulations ALM IBSM @Riksbanken @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-november-28-2025/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-november-28-2025/"
X Link 2025-12-03T07:30Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: HCA Healthcare Inc. $HCA credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-12-13T01:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation December [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-12-22T05:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation December [--] 2025: HJM++ [-----] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-12-23T02:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/"
X Link 2026-01-07T01:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-2-2026/"
X Link 2026-01-07T13:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $WTW Willis Towers Watson PLC credit risk credit ratings @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-09T19:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-12T03:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/"
X Link 2026-01-12T23:20Z [----] followers, [---] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Sibanye-Stillwater Ltd. ZAF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-14T19:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/"
X Link 2026-01-15T03:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Thai Baht/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Thai Government and U.S. Treasury Yield Simulations ALM IBSM Bank of Thailand @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/"
X Link 2026-01-15T05:20Z [----] followers, [--] engagements
"Euro FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Bund and Treasury Yield Simulations ALM IBSM @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/"
X Link 2026-01-15T11:20Z [----] followers, [--] engagements
"Pound Sterling FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Gilt and Treasury Yield Simulations ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-9-2026/"
X Link 2026-01-15T13:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $TT Trane Technologies PLC credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-16T23:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Thai Baht/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Thai Government and U.S. Treasury Yield Simulations ALM IBSM Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-19T05:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/"
X Link 2026-01-20T03:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/"
X Link 2026-01-20T15:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Pound Sterling/Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Gilt and Treasury Yield Simulations ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-16-2026/"
X Link 2026-01-21T11:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Willis Towers Watson PLC $WTW credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-23T23:20Z [----] followers, [--] engagements
"Actual standard deviation of 91-day percentage changes in U.S. Dollar value of [--] Swedish Krona versus normal distribution ALM IBSM @SASSoftware @Riksbanken http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-26T07:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-29T14:30Z [----] followers, [--] engagements
"KRIS from @SASSoftware provides daily out-of-sample cross-validation between default probabilities bond prices & spreads. Journal of Financial and Quantitative Analysis August [----] Example: @ABBVIE https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265"
X Link 2026-01-30T01:20Z [----] followers, [--] engagements
"Why do the world's smartest institutional investors in equities and fixed income securities use the KRIS default probability and fixed income service Edwards Deming answered that question perfectly. @SASSoftware credit risk credit ratings IFRS9 CVA http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-30T05:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Adani Ports & Special Economic Zone Ltd. India credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-30T07:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-30T17:35Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco credit risk credit ratings @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-30T23:20Z [----] followers, [--] engagements
"Term structure of traded bond spreads (blue) versus annualized KRIS default probabilities for $BTI $BTAFF British American Tobacco credit risk credit ratings bonds corporatebonds IFRS9 @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-31T01:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-01T19:20Z [----] followers, [--] engagements
"New Zealand Treasury Bonds maximum smoothness forward rates & zero coupon yields consistent with par coupon yields via SAS ALM/KRM version 11.0.1 @SASSoftware Info ALM IBSM @SASSoftware @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-01T21:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated January [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-02T01:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-02T03:20Z [----] followers, [--] engagements
"Distribution of empirical & risk neutral Thai 3-month bill rates [--] year forward. [-----] scenarios 12-factor HJM++ model daily data 1962- November [--] [----] stochastic volatility. ALM IBSM Bank of Thailand @SASSoftware Thailand http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-02T05:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-02T13:20Z [----] followers, [--] engagements
"The Expected Cumulative Default Rate from SAS Institute Inc. the only daily index of the credit quality of rated firms worldwide shows the 1-year unchanged at 0.45% & 10-year up 0.02% at 6.93%. KRIS @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-02T15:20Z [----] followers, [--] engagements
"Treasury 3-month HJM++ Simulation January [--] 2026: Long-term Peak in 1-Month Forward Rates Up 0.12% to 6.03% ALM IBSM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/"
X Link 2026-02-02T17:20Z [----] followers, [--] engagements
"This is the calculation that failed Metropolitan Capital Bank and Trust couldn't do. Treasury 3-month HJM++ Simulation January [--] 2026: ALM IBSM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-january-30-2026-long-term-peak-in-1-month-forward-rates-up-0-12-to-6-03/"
X Link 2026-02-02T19:20Z [----] followers, [--] engagements
"Example New Zealand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @ReserveBankofNZ New Zealand Debt Management https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-02T21:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated January [--] [----] shows the cumulative probability of default for 5-year Australian Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @RBAInfo @APRAInfo @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-02T23:20Z [----] followers, [--] engagements
"Example Japan HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @Bank_of_Japan_j @MOF_Japan @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T01:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Singapore Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Years Forward Using Joint Singapore Government and U.S. Treasury Yield Simulations ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T03:20Z [----] followers, [--] engagements
"Example Thailand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware Bank of Thailand https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T05:20Z [----] followers, [--] engagements
"Example: Sweden Optimal HJM++ Hedge of 10-Year 5% Bond Using Par Coupon Bonds January [--] [----] ALM IBSM @SASSoftware @Riksbanken https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T07:20Z [----] followers, [--] engagements
"Example Germany HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T09:20Z [----] followers, [--] engagements
"Example: United Kingdom Optimal HJM++ Hedge of 10-Year 5% Bond Using One Par Coupon Bond and One Zero Coupon Bond Reveals a Perfect Hedge January [--] [----] @BankofEngland @SASSoftwareUKI ALM IBSM @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T11:20Z [----] followers, [--] engagements
"Example: Canada: Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] ALM IBSM @SASSoftware @BankofCanada @OSFICanada https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T13:20Z [----] followers, [--] engagements
"Joint simulation of 5-year zero-coupon U.S. Treasury and Canadian Government Bond yields [--] year forward. [-----] scenarios 12-factor HJM++ model daily data 1962- August [--] [----] stochastic volatility ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T15:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ New Zealand Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM IBSM @ReserveBankofNZ New Zealand Debt Management @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-03T19:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Australian Dollar/U.S. Dollar FX Rate Simulation January [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Australia Government and U.S. Treasury Yield Simulations ALM IBSM @RBAInfo @APRAInfo @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-december-5-2025/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-december-5-2025/"
X Link 2026-02-03T21:20Z [----] followers, [--] engagements
"Example Australia HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @RBAInfo @APRAInfo https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-03T23:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated January [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T01:20Z [----] followers, [--] engagements
"Example Singapore HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] @SASSoftware @MAS_sg https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T03:20Z [----] followers, [--] engagements
"Example Thailand: Hedge by Number of Zero Coupon Bonds of 5% 10-Year Bond HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America January [--] [----] ALM IBSM @SASSoftware Bank of Thailand https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T05:20Z [----] followers, [--] engagements
"Example: Sweden Optimal HJM++ Hedge of 10-Year 5% Bond Using Par Coupon Bonds January [--] [----] ALM IBSM @SASSoftware @Riksbanken https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T07:20Z [----] followers, [--] engagements
"Example: Germany Optimal HJM++ Hedge of 10-Year 5% Bond Using One Par Coupon Bond and One Zero Coupon Bond Reveals a Perfect Hedge January [--] [----] @Bundesbank @ECB_Research @EBA_News ALM IBSM @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T09:20Z [----] followers, [--] engagements
"Got Monte Carlo If your ALM vendor has it but it doesnt work you need SAS ALM/KRM and SAS more than two decades of multinational Monte Carlo simulation experience. Example: United Kingdom @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T11:20Z [----] followers, [--] engagements
"HJM++ joint simulation of 10-year zero-coupon Treasury and Gilt yields [--] year forward. [-----] scenarios 12-factor HJM++ model daily data 1962- August [--] [----] stochastic volatility ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-january-30-2026/"
X Link 2026-02-04T13:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-04T15:20Z [----] followers, [--] engagements
"Which is more accurate in predicting movements in rates A [--] [--] [--] [--] or 7-factor term structure model [--] factors (blue) by far New Zealand Treasury Securities daily June [------] to January [--] [----] @SASSoftware ALM @ReserveBankofNZ @SASsoftware New Zealand Debt Management https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/"
X Link 2026-02-04T19:20Z [----] followers, [--] engagements
"Which is more accurate in predicting movements in rates A [--] [--] [--] [--] or 7-factor term structure model [--] factors (blue) by far New Zealand Treasury Securities daily June [------] to January [--] [----] @SASSoftware ALM @ReserveBankofNZ @SASsoftware New Zealand Debt Management https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/ https://www.kamakuraco.com/"
X Link 2026-02-04T21:20Z [----] followers, [--] engagements
"New Zealand government zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/KRM version 11.0.1 June [--] [----] to January [--] [----] daily. @SASSoftware ALM @ReserveBankofNZ New Zealand Debt Management https://www.kamakuraco.com/ https://www.kamakuraco.com/"
X Link 2026-02-04T23:20Z [----] followers, [--] engagements
"Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model New Zealand Treasury bonds daily 1987-2026 @SASSoftware ALM ICAAP FRTB @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-05T03:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Vasicek Hull-White and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. KRIS info: @SASsoftware FRTB ICAAP New Zealand Debt Management @ReserveBankofNZ http://Kamakuraco.com http://Kamakuraco.com http://Kamakuraco.com http://Kamakuraco.com"
X Link 2026-02-05T05:20Z [----] followers, [--] engagements
"Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Swedish government bonds daily 1987-2026 with stochastic volatility @riksbanken @SASsoftware https://www.kamakuraco.com/ https://www.kamakuraco.com/"
X Link 2026-02-05T07:20Z [----] followers, [--] engagements
"Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Swedish government bonds daily 1987-2026 with stochastic volatility @riksbanken @SASsoftware https://www.kamakuraco.com/ https://www.kamakuraco.com/"
X Link 2026-02-05T09:20Z [----] followers, [--] engagements
"Swedish government bond zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/Kamakura Risk Manager version 11.0.1 Kamakura Risk Information Services 1987-2026 daily ALM ICAAP IRRBB FTP FRTB Sweden @Riksbanken @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-05T11:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Sweden SverigesRiksbank @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-05T17:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Sweden SverigesRiksbank @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-05T19:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-05T21:20Z [----] followers, [--] engagements
"Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Thailand government bonds daily 1999-2026 with stochastic volatility ALM ICAAP FRTB IRRBB interest rates Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T01:20Z [----] followers, [--] engagements
"Which is more accurate in predicting movements in forward rates A [--] [--] [--] [--] or 11-factor term structure model [--] factors (blue) by far Thailand government bonds daily 1999-2026 with stochastic volatility ALM ICAAP FRTB IRRBB interest rates Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T03:20Z [----] followers, [--] engagements
"Thailand government bond zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/KRM version 11.0.1 KRIS 1999-2026 daily ALM ICAAP FRTB Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T05:20Z [----] followers, [--] engagements
"Number of statistically significant variables driving the yield curve Heath Jarrow & Morton model [--] factors Thai government bonds daily 1999-2026 with stochastic volatility ALM ICAAP FRTB FTP IRRBB Bank of Thailand @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T07:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T11:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T13:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White Vasicek and Ho and Lee models. No here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T15:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T17:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco $BTI $BTAFF @SASSoftwareUKI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T19:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco $BTI $BTAFF @SASSoftwareUKI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T21:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Equinix Inc $EQIX credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T23:20Z [----] followers, [--] engagements
"Example Germany HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T09:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Linde PLC $LIN credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-08-02T00:20Z [----] followers, [---] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Linde PLC $LIN credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-08-22T19:20Z [----] followers, [----] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @AON_PLC $AON credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-12-05T19:04Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $AON PLC credit risk credit ratings @SASSoftware @SASSoftwareUKI http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-09T21:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Lamar Advertising $LAMR India credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-30T21:39Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Equinix Inc. $EQIX credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-31T03:20Z [----] followers, [--] engagements
"Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Swedish government bonds daily 1987-2026 ALM ICAAP FRTB FTP IRRBB Sweden Sveriges Riksbank @Riksbanken http://Kamakuraco.com http://Kamakuraco.com"
X Link 2026-02-05T15:20Z [----] followers, [--] engagements
"Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Thailand government bonds daily 1999-2026 ALM ICAAP interest rates Bank of Thailand interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-06T09:20Z [----] followers, [--] engagements
"Singapore government bond zero coupon bond yields using maximum smoothness forward rate smoothing via SAS ALM/Kamakura Risk Manager version 11.0.1 Kamakura Risk Information Services 1998-2026 daily ALM ICAAP IRRBB FTP FRTB @MAS_sg interest rates http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-08T17:20Z [----] followers, [--] engagements
"New Zealand Treasury Bonds maximum smoothness forward rates & zero coupon yields consistent with par coupon yields via SAS ALM/KRM version 11.0.1 @SASSoftware Info ALM IBSM @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-08T19:20Z [----] followers, [--] engagements
"Number and Order of HJM++ Factors Driving Japanese Government Bond Yields February [--] [----] ALM IBSM @Bank_of_Japan_j @Bank_of_Japan_e @MOF_Japan @SASSoftware @SASJapan http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-08T23:20Z [----] followers, [--] engagements
"Which is more accurate in predicting forward rate moves A [--] [--] [--] [--] or 10-factor term structure model [--] factors (blue) by far Singapore governments daily 1998-2026 with stochastic volatility ALM IRRBB @MAS_sg interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-09T03:20Z [----] followers, [--] engagements
"Number of statistically significant variables driving the yield curve Heath Jarrow & Morton model [--] factors Singapore government bonds daily 1998-2026 with stochastic volatility ALM ICAAP IRRBB FTP FRTB @MAS_sg interest rates @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-09T07:20Z [----] followers, [--] engagements
"Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Singapore government bonds daily 1998-2026 ALM ICAAP interest rates @MAS_sg interest rates http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-09T09:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White and Ho and Lee model. No Here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Singapore MAS @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-09T11:20Z [----] followers, [--] engagements
"ALM FAQ Is interest rate volatility constant (non-random) I know it is in the Hull-White and Ho and Lee model. No Here are the numbers. Volatility rises as rates rise. FRTB ICAAP FTP Singapore MAS @MAS_sg @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-09T13:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-09T15:09Z [----] followers, [--] engagements
"Treasury 3-month HJM++ Simulation February [--] 2026: 3-Month Bill Rates 30-Month Decline to 1%-2% Range ALM IBSM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/"
X Link 2026-02-09T17:39Z [----] followers, [--] engagements
"Example: United States Optimal HJM++ Hedge of 10-Year 5% Bond Using Par Coupon Bonds February [--] [----] ALM IBSM @SASSoftware @USOCC @USTreasury @federalreserve @FDIC_gov https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/"
X Link 2026-02-09T19:20Z [----] followers, [--] engagements
"Example New Zealand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @ReserveBankofNZ New Zealand Debt Management https://ow.ly/zRET50YbWLS https://ow.ly/zRET50YbWLS"
X Link 2026-02-09T21:20Z [----] followers, [--] engagements
"Example Australia HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @RBAInfo @APRAInfo https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-09T23:20Z [----] followers, [--] engagements
"Example Japan HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @Bank_of_Japan_j @MOF_Japan @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T01:20Z [----] followers, [--] engagements
"Example Singapore HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @MAS_sg https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T03:20Z [----] followers, [--] engagements
"Example Thailand HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware Bank of Thailand https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T05:20Z [----] followers, [--] engagements
"Example Sweden HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @Riksbanken https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T07:20Z [----] followers, [--] engagements
"Example United Kingdom HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @BankofEngland @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T11:20Z [----] followers, [--] engagements
"Example Canada HJM++ Correlated Government Yield and FX Simulations for Asia-Pacific Europe and North America February [--] [----] @SASSoftware @BankofCanada @OSFICanada https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T13:20Z [----] followers, [--] engagements
"Among the riskiest rated public firms in the world there were [--] increases & [--] decreases in KRIS 1-year default probabilities today. KRIS info credit risk credit ratings bonds @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-10T15:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ Canadian Dollar/U.S. Dollar FX Rate Simulation February [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint Canadian Government and U.S. Treasury Yield Simulations ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-10T17:20Z [----] followers, [--] engagements
"Example: United States Optimal HJM++ Hedge of 10-Year 5% Bond Using One Par Coupon Bond and One Zero Coupon Bond Reveals a Perfect Hedge February [--] [----] ALM IBSM @SASSoftware @USOCC @USTreasury @federalreserve @FDIC_gov https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/"
X Link 2026-02-10T19:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral HJM++ New Zealand Dollar/U.S. Dollar FX Rate Simulation February [--] 2026: HJM++ [-----] Scenarios [--] Year Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM IBSM @ReserveBankofNZ New Zealand Debt Management @SASSoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-6-2026-3-month-bill-rates-30-month-decline-to-1-2-range/"
X Link 2026-02-10T21:20Z [----] followers, [--] engagements
"Statistical significance and volatility type by maturity of forward rate for [--] factors driving Heath Jarrow & Morton model Australia Government Securities daily January [--] [----] to January [--] [----] ALM @APRAinfo @RBAinfo @SASSoftware https://www.kamakuraco.com/ https://www.kamakuraco.com/"
X Link 2026-02-11T07:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: ATI inc. $ATI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-11T17:55Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year New Zealand Treasury Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @ReserveBankofNZ @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-11T19:33Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year Australian Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @RBAInfo @APRAInfo @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-11T21:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T01:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Singapore Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @MAS_sg @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T03:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year Swedish Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @Riskbanken @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T07:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: $AAMI Acadian Asset Management Inc. credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-08-02T02:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Acadian Asset Management $AAMI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-08-22T21:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Acadian Asset Management $AAMI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-08-27T15:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Acadian Asset Management $AAMI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-08-29T16:40Z [----] followers, [---] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: VICI Properties $VICI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-09-05T21:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Trane_Tech $TT credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-10-03T18:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Trane_Tech PLC credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-10-17T22:30Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Crown Holdings $CCK credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2025-11-20T23:20Z [----] followers, [--] engagements
"KRIS from @SASSoftware provides daily out-of-sample cross-validation between default probabilities bond prices & spreads. Journal of Financial and Quantitative Analysis August [----] Example: @TD_Canada $td https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265"
X Link 2026-01-28T03:20Z [----] followers, [--] engagements
"@SASSoftware: Coupon payments are subordinate to principal because there is no recovery on coupons in default. See The Valuation of Corporate Coupon Bonds August [----] Journal of Financial and Quantitative Analysis Example: @TD_Canada $TD https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265 https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/valuation-of-corporate-coupon-bonds/0A134CC70ECA88703289C78FE64FE265"
X Link 2026-01-28T05:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Thai Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM Bank of Thailand @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T05:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Gilts funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @BankofEngland @SASSoftware @SASSoftwareUKI https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T09:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for a bank holding 10-year Bunds funded with [--] [--] [--] or 20% equity and deposits ALM IBSM @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T11:20Z [----] followers, [--] engagements
"The HJM++ default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 5-year Canadian Government Bonds funded with [--] [--] [--] or 20% equity and bank deposits. ALM IBSM @BankofCanada @OSFICanada @SASSoftware https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/ https://www.kamakuraco.com/hjm-correlated-government-yield-and-foreign-exchange-rate-simulations-for-asia-pacific-europe-and-north-america-february-6-2026/"
X Link 2026-02-12T13:20Z [----] followers, [--] engagements
"The Expected Cumulative Default Rate from SAS Institute Inc. the only daily index of the credit quality of rated firms worldwide shows the 1-year up 0.01% at 0.44% & 10-year up 0.08% at 6.85%. KRIS @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-12T17:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: Sasol Limited $SSL ZAF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-01-24T01:20Z [----] followers, [---] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: ATI Inc. $ATI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-05T23:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: ATI inc. $ATI credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-07T01:20Z [----] followers, [--] engagements
"Macro factors call provisions and liquidity premiums along with KRIS default probabilities and recovery rates drive credit spread movements. Example: British American Tobacco PLC $BTI $BTAFF credit risk credit ratings @SASSoftware http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-13T17:20Z [----] followers, [--] engagements
"Actual standard deviation of 91-day percentage changes in U.S. Dollar value of [--] New Zealand Dollar versus normal distribution ALM IBSM @SASSoftware @ReserveBankofNZ New Zealand Debt Management http://www.kamakuraco.com http://www.kamakuraco.com"
X Link 2026-02-15T19:10Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus [--] & 10-year KRIS default probabilities (orange & green) for Biogen Inc. $BIIB bonds due [----] via #credit #creditrisk #creditratings #bonds #corporatebonds #riskmanagement #interestrates http://www.kris-online.com http://www.kris-online.com"
X Link 2020-02-28T20:45Z [----] followers, [--] engagements
"The Kamakura Expected Cumulative Default Rate the only daily index of the credit quality of rated firms worldwide shows the 1-year rate down 0.13% at 3.87% and the 10-year up 0.30% at 21.73%. #riskmanagement #credit #creditrisk"
X Link 2020-03-26T17:30Z [----] followers, [--] engagements
"The Kamakura Expected Cumulative Default Rate the only daily index of the credit quality of rated firms worldwide shows the 1-year rate down 0.13% at 3.87% and the 10-year up 0.30% at 21.73%. #riskmanagement #credit #creditrisk"
X Link 2020-03-28T00:35Z [----] followers, [--] engagements
"BBI Blockbuster cumulative [--] year default risk down about 10% over the last few days on both version [--] and version http://twitpic.com/1h3lrx"
X Link 2010-04-20T18:30Z [----] followers, [--] engagements
"BANKRUPT: 1-year (blue) and 1-month KRIS default probabilities for Covia Holdings $CVIA versus ratings-implied default probability (gray) via #credit #creditrisk #creditratings http://www.kris-online.com http://www.kris-online.com"
X Link 2020-06-30T17:25Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus [--] & 10-year KRIS default probabilities (orange & green) for SBA Communications $SBAC bonds due [----] via #credit #creditrisk #creditratings #bonds #corporatebonds #riskmanagement #interestrates http://www.kris-online.com http://www.kris-online.com"
X Link 2020-09-16T20:20Z [----] followers, [--] engagements
"KRIS is the only default probability and fixed income information system which provides daily cross-validation between default probabilities and bond prices & spreads. Example SBA Communications $SBAC bonds #credit #creditrisk #bonds #interestrates https://www.researchgate.net/publication/328676798_The_Valuation_of_Corporate_Coupon_Bonds https://www.researchgate.net/publication/328676798_The_Valuation_of_Corporate_Coupon_Bonds"
X Link 2020-09-17T00:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) 1-year & 10-year KRIS default probabilities for DuPont de Nemours $DD bonds due [----] via KRIS: #credit #creditrisk #creditratings #bonds #corporatebonds https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/"
X Link 2021-06-25T23:20Z [----] followers, [--] engagements
"The Corporate Bond Investor brings advanced Kamakura fixed income analytics to sophisticated individual investors. Todays best value issuers include Biogen Inc.: #credit #creditrisk $BIIB https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/"
X Link 2021-09-10T19:20Z [----] followers, [--] engagements
"The Corporate Bond Investor brings advanced Kamakura fixed income analytics to sophisticated individual investors. Todays best value issuers include $BTI $BTAFF #credit #creditrisk @SASsoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/the-corporate-bond-investor-for-individual-investors/"
X Link 2022-11-11T17:20Z [----] followers, [--] engagements
"Japanese government bond zero coupon bond yields using maximum smoothness forward rate smoothing via Kamakura Risk Manager version [----] Kamakura Risk Information Services 1974-2023 daily #ALM #JGB @Bank_of_Japan_e @MOF_Japan @SASJapan @SASSoftware"
X Link 2023-06-02T05:20Z [----] followers, [--] engagements
"Number of statistically significant variables driving the yield curve Heath Jarrow & Morton model [--] factors Japanese government bonds daily 1974-2023 with stochastic volatility #ALM #FRTB #interestrates #IRRBB #Japan @Bank_of_Japan_e @MOF_Japan @SASJapan @SASsoftware"
X Link 2023-06-02T08:20Z [----] followers, [--] engagements
"KRIS provides daily out-of-sample cross-validation between default probabilities bond price & spread Issuers: All with at least [--] traded bonds and $100000 volume per bond #creditrisk #bonds @SASsoftware @AmericanTowerUS $AMT https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/ https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/"
X Link 2023-06-16T02:20Z [----] followers, [---] engagements
"KRIS provides daily out-of-sample cross-validation between default probabilities bond price & spread Issuer: @mitsui_sumitomo #credit #creditrisk #bonds @SASsoftware @SASJapan https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/ https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/"
X Link 2023-08-02T04:20Z [----] followers, [---] engagements
"KRIS provides daily out-of-sample cross-validation between default probabilities bond price & spread Issuer: @mitsui_sumitomo #credit #creditrisk #bonds @SASSoftware @SASJapan https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/ https://kamakuraco.com/2022/01/03/the-valuation-of-corporate-coupon-bonds%e2%88%97/ https://kamakuraco.com/solutions/KRIS-daily-model-validation/"
X Link 2023-09-20T23:20Z [----] followers, [---] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for @Equinix bonds due [----] $EQIX #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/default-probability-models/"
X Link 2023-11-04T06:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for $HIK Hikma Pharmaceuticals bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-04-29T17:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for HIKMA Pharmaceuticals bonds due [----] #HIK #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-05-15T17:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for Hikma Pharmaceuticals PLC bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-06-05T17:13Z [----] followers, [--] engagements
"NEW FROM SAS INSTITUTE INC.: The Valuation of Corporate Coupon Bonds forthcoming in the Journal of Financial and Quantitative Analysis Example: @RBC @RBC_CM $RY #credit #creditrisk #bonds @SASSoftware @BankofCanada https://www.kamakuraco.com/12688-2/ https://www.kamakuraco.com/12688-2/"
X Link 2024-08-14T00:15Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @Equinix $EQIX bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-09-06T17:20Z [----] followers, [--] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: #HIKMA Pharmaceuticals bonds due [----] #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-09-24T20:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for @BidvestG bonds due [----] $bvt #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-11-15T21:20Z [----] followers, [---] engagements
"Macro factors and liquidity along with KRIS default probabilities and recovery rates drive credit spread movements. Example: @BidvestG bonds $BVT #credit #creditrisk #creditratings @SASSoftware #SouthAfrica https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-11-21T20:20Z [----] followers, [--] engagements
"Traded bond spreads (blue) versus 1-year (orange) & 10-year (green) KRIS default probabilities for @Equinix bonds due [----] $EQIX #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-12-13T17:31Z [----] followers, [--] engagements
"Term structure of KRIS annualized default probabilities and traded credit spreads (blue) for @Equinix $EQIX #credit #creditrisk #creditratings @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2024-12-13T20:04Z [----] followers, [--] engagements
"Weekly Bund and Euro FX Simulation February [--] 2025: Median Euro FX Rate [------] One Year Forward ALM @Bundesbank @ECB_Research @EBA_News @SASSoftware https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/ https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/"
X Link 2025-02-11T11:20Z [----] followers, [--] engagements
"Euro FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint Bund and Treasury Yield Simulations ALM @Bundesbank @ECB_Research @EBA_News https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/ https://www.kamakuraco.com/weekly-bund-yield-and-euro-simulation-february-7-2025-median-euro-u-s-dollar-exchange-rate-1-0362-one-year-forward/"
X Link 2025-02-11T15:20Z [----] followers, [--] engagements
"Measuring the Term Premium in New Zealand Treasury Bonds February [--] 2025: Actual Zero Coupon Yields versus Expected Empirical 3-Month Cumulative Return ALM @ReserveBankofNZ @SASSoftware"
X Link 2025-02-16T23:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan"
X Link 2025-02-17T02:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan"
X Link 2025-02-17T04:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Swedish Krona/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint Swedish Government Bond and Treasury Yield Simulations ALM @Riksbanken @SASSoftware"
X Link 2025-02-17T06:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Bunds funded with 5% equity and 95% deposits ALM @Bundesbank @ECB_Research @EBA_News"
X Link 2025-02-18T11:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Gilts funded with [--] [--] [--] or 20% equity and bank deposits. ALM @BankofEngland @SASSoftware @SASSoftwareUKI"
X Link 2025-02-18T13:20Z [----] followers, [--] engagements
"Treasury 3-month Simulation 2/14/2025: Most Likely Range for 10-Year Yield is 2% to 3% in [----] ALM @USOCC @USTreasury @federalreserve @FDIC_gov @SASsoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/"
X Link 2025-02-18T17:51Z [----] followers, [--] engagements
"The default risk of interest rate mismatches shows the cumulative probability of default for 10-year Treasuries funded with 5% equity and 95% deposits ALM @USOCC @USTreasury @FederalReserve @FDIC_gov @SASSoftware https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/ https://www.kamakuraco.com/sas-weekly-treasury-simulation-february-14-2024-most-likely-range-for-10-year-yield-is-2-to-3-in-2035/"
X Link 2025-02-18T19:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year JGBs funded with [--] [--] [--] or 20% equity and bank deposits. ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/ https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/"
X Link 2025-02-19T02:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/ https://www.kamakuraco.com/sas-weekly-japanese-government-bond-and-yen-simulation-february-14-2025-measuring-the-default-risk-of-interest-rate-mismatches/"
X Link 2025-02-19T05:20Z [----] followers, [--] engagements
"@SASSoftware: Coupon payments are subordinate to principal because there is no recovery on coupons in default. See The Valuation of Corporate Coupon Bonds May [----]. Soon in the Journal of Financial and Quantitative Analysis Example: $WFC https://www.kamakuraco.com/12688-2/ https://www.kamakuraco.com/12688-2/"
X Link 2025-02-20T05:20Z [----] followers, [--] engagements
"Why is correlation between legacy ratings & traded bond spreads so low Ratings are (1) [---] years old (2) have no term structure (3) change every (median) [----] days (4) have bigger is better & issuer pays bias credit default @SASSoftware https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/ https://www.kamakuraco.com/solutions/kamakura-risk-information-svcs/"
X Link 2025-02-20T14:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral New Zealand Dollar/U.S. Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM @ReserveBankofNZ @SASSoftware"
X Link 2025-02-23T21:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral New Zealand Dollar/U.S. Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Years Forward Using Joint New Zealand Treasury and U.S. Treasury Yield Simulations ALM @ReserveBankofNZ @SASSoftware"
X Link 2025-02-23T23:20Z [----] followers, [--] engagements
"Empirical and Risk-Neutral Yen/Dollar FX Rate Simulation February [--] 2025: [------] Scenarios [--] Year Forward Using Joint JGB and Treasury Yield Simulations ALM @Bank_of_Japan_j @MOF_Japan @SASSoftware @SASJapan"
X Link 2025-02-24T02:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Bunds funded with 5% equity and 95% deposits ALM @Bundesbank @ECB_Research @EBA_News"
X Link 2025-02-24T09:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches updated February [--] [----] shows the cumulative probability of default for 10-year Gilts funded with [--] [--] [--] or 20% equity and bank deposits. ALM @BankofEngland @SASSoftware @SASSoftwareUKI"
X Link 2025-02-24T11:20Z [----] followers, [--] engagements
"The default risk of interest rate mismatches shows the cumulative probability of default for 10-year Treasuries funded with 5% equity and 95% deposits ALM @USOCC @USTreasury @FederalReserve @FDIC_gov @SASSoftware"
X Link 2025-02-24T21:20Z [----] followers, [--] engagements
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