SOURCE: Kamakura Corporation

October 01, 2007 10:00 ET

Kamakura Reports Fourth Consecutive Monthly Decline in Global Credit Quality

Kamakura Troubled Company Index Rises to 8.0% in September

HONOLULU, HI--(Marketwire - October 1, 2007) - Kamakura Corporation reported today that 8.0% of global public companies were classified as troubled by the end of September, the fourth consecutive monthly decline in credit quality. The Kamakura troubled company index was 7.7% in August and 6.3% as recently as June. The number of troubled companies has not reached the 8.0% level on a sustained basis since the second quarter of 2005. September 2007 global credit quality remained better than 78.6% of the monthly periods since January 1990, down sharply from a 96.7% rank in June. The average value of the index has been 13.5% over the last 17 years. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index now covers more than 20,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"The credit crisis of this summer continues to reach more sectors of the economy," said Warren Sherman, Kamakura President and Chief Operating Officer. "The bankruptcy of The Bombay Company, Inc. and the seizure of NetBank by regulators are symbolic of the widening credit problems. The percentage of the global corporate universe with default probabilities between 1% and 5% increased from 5.5% of the universe at the end of August to 5.8% of the universe at the end of September. The percentage of companies with default probabilities between 5% and 10% was down 0.1% to 1.0% of the universe in September. The percentage of the universe with default probabilities between 10 and 20% was up 0.2% to 0.8% of the universe. The percentage of companies with default probabilities over 20% increased by 0.1% to 0.5% of the total universe in September."

Beginning in January 2006, Kamakura has moved to a global index covering 29 countries using 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, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

Kamakura is offering free trials of its KRIS default probability, default correlation, and collateralized debt obligation pricing 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 a chapter from "The Basel Handbook: A Guide for Financial Practitioners," second edition, (Michael Ong, Editor) by Kamakura's Donald R. van Deventer, Li Li, and Xiaoming Wang (available on

About Kamakura Corporation

Founded in 1990, 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 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. Kamakura has served more than 160 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 23 countries, including the United States, Canada, Germany, the Netherlands, France, Switzerland, the United Kingdom, Russia, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

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

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