SOURCE: Kamakura Corporation

October 06, 2005 17:23 ET

Kamakura Reports Fourth Consecutive Corporate Credit Quality Improvement in September

HONOLULU, HI -- (MARKET WIRE) -- October 6, 2005 -- Kamakura Corporation reported today that its monthly index of troubled companies in the United States dropped again in September to 13.1% of the public company universe, the fourth monthly decline in a row. The index, which had been at 16.0% of the public company universe in both April and May, dropped from 13.3% in August. The Kamakura troubled company index reached its recent low point of 11.1% in April 2004. The index exceeded 30% at the height of the last recession. Kamakura classifies any company with a default probability of more than one percent as troubled.

"The Kamakura troubled company index has been moving in a narrow range for some months now, a range that is typical of an economy that is healthy but not exuberant," said Warren Sherman, Kamakura President and Chief Operating Officer. "The impact of higher oil prices is continuing to take its toll on companies heavily dependent on oil-related costs. In September, the number of companies with default probabilities between 1% and 5% decreased slightly to 7.9% of the universe from 8.0% in August. Companies with default probabilities between 5 and 10% also decreased slightly to 1.9% of the universe from 2.0% a month earlier. Companies with default probabilities between 10% and 20% jumped a bit, rising to 1.5% of the universe from 1.3% in August. The riskiest firms in the universe, those with default probabilities over 20%, improved 0.1% to 1.9% of the universe in September."

Kamakura is offering free trials of its KRIS default probability and default correlation service to qualified institutions. For more information on Kamakura's free trial offer please contact Kamakura at More information can also be found on the Kamakura Corporation web site and in "Advanced Financial Risk Management" (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler (available on "Advanced Financial Risk Management" was recently named "best finance book of 2004" on

About Kamakura Corporation

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 launched its business mortality model for unlisted companies in January 2004. Kamakura is also the first company in the world to develop and install a fully integrated credit risk, market risk, asset and liability management, and transfer pricing software system. Kamakura has clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in the United States, Canada, Germany, Switzerland, the United Kingdom, Australia, the Middle East, Africa, Japan, China, Korea and many other countries in Asia.

Kamakura's research effort is led by Professor Robert Jarrow, who was named Financial Engineer of the Year in 1997 by the International Association of Financial Engineers. Professor Jarrow and Dr. van Deventer were both named to the 50-member RISK Hall of Fame in December 2002. Kamakura management has published twenty-one books and more than 100 publications on credit risk, market risk, and asset and liability management. Kamakura has worldwide distribution alliances with IPS-Sendero ( and Unisys (, making Kamakura products available in almost every major city around the globe.

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