SOURCE: Kamakura Corporation

Kamakura Corporation

November 02, 2009 10:00 ET

Kamakura Reports 7th Consecutive Improvement in Troubled Company Index in October

Credit Conditions Now Best Since December 2007

NEW YORK, NY--(Marketwire - November 2, 2009) - Kamakura Corporation announced Monday that the Kamakura index of troubled public companies made its seventh consecutive improvement in October. The index declined from 10.90% in September to 10.68%, with credit conditions at the best levels since December 2007. Kamakura's index had reached a peak of 24.3% in March. Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. Credit conditions are now better than credit conditions in 63.9 percent of the months since the index's initiation in January 1990, and 3.02 percentage points better than the index's historical average of 13.7%. The all-time low in the index was 5.4%, recorded in April and May, 2006, while the all-time high in the index was 28.0%, recorded in September 2001. The index is based on default probabilities for almost 27,000 companies in 30 countries. To follow the troubled company index and other risk commentary by Kamakura on a daily basis, see

In October, the percentage of the global corporate universe with default probabilities between 1% and 5% decreased by 0.03 percentage points to 7.37%. The percentage of companies with default probabilities between 5% and 10% was down 0.09 percentage points to 1.61%. The percentage of the universe with default probabilities between 10 and 20% was down 0.09 percentage points to 1.01% of the universe, while the percentage of companies with default probabilities over 20% was down by 0.11 percentage points to 0.69% of the total universe in October. In March, by contrast, 3.1% of the total universe had default probabilities over 20%.

Kamakura's President Warren A. Sherman said Monday, "While credit quality continued to improve in October, the rate of improvement has slowed. Within the rated company universe, a number of companies have shown a significant increase in default risk. The rated firms showing the largest increase in short run default risk in October include Citadel Broadcasting, CIT, Allied Irish Bank, Bank of Ireland, and Ambac."

The Kamakura index uses the annualized one month default probability produced by the best performing credit model of the Kamakura Risk Information Services default and correlation service. The model used is the fourth generation Jarrow-Chava reduced form default probability, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The countries currently covered by the index include Australia, Austria, Belgium, Brazil, Canada, Denmark, Finland, France, Germany, Hong Kong, India, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

Kamakura CEO Dr. Donald R. van Deventer and other members of Kamakura senior management also maintain an active blog on key risk management issues. Recent blog entries include the following stories:

--  Reduced Form Macro Factor and Roll Rate Models of Mortgage Default: An
    Introduction and Application
--  Pitfalls in Asset and Liability Management: Interpolating Monte Carlo
    Results, Or How to Prove Augusta National is Not a Golf Course
--  Rating the Rating Agencies
--  An Appreciation and Some Suggestions: 'The Financial Crisis and
    Lessons for Insurers' from the Society of Actuaries
--  Advances in Risk Management: Glass Boxes, Black Boxes, CDOs and
    Grocery Lists
--  More on Glass Boxes, Black Boxes, CDOs and Grocery Lists
--  An Appreciation: Joseph Tibman's 'The Murder of Lehman Brothers'
--  Robert A. Jarrow on 'TARP Warrants Valuation Methods'
--  Too Smart to Fail

About Kamakura Corporation

Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities and default correlations for listed companies since November 2002. Kamakura announced the KRIS Sovereign Default Probability Service on May 19, 2008. Kamakura launched its collateralized debt obligation (CDO) pricing service KRIS-CDO in April 2007. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, transfer pricing, and capital allocation. The Kamakura Risk Manager system, now in version 7.0, was first offered commercially in 1993 and has been continually enhanced since then. Kamakura has served more than 200 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 32 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv (, Unisys (, and Zylog Systems ( making Kamakura products available in almost every major city around the globe.

For more information contact

Kamakura Corporation
2222 Kalakaua Avenue, 14th Floor, Honolulu, Hawaii 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Web site:

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