SOURCE: Kamakura Corporation

January 03, 2008 14:47 ET

Kamakura Troubled Company Index Remains Near Highest Level Since May 2005

HONOLULU, HI--(Marketwire - January 3, 2008) - Kamakura Corporation reported today that its monthly index of troubled public companies in December remained near the recent high of 10.4% set in November. The percent of public companies classified as troubled declined slightly by 0.2% in December to 10.2% of the public company universe. Prior to last month's jump, the index had not been as high as 10% since May 2005. The index remains almost 5.0% higher than its all time low 5.4%, a level reached in April and May 2006. Current credit conditions are still better than 65.3% of the monthly periods since the start of the index in January 1990. This is down sharply, however, from a 95.2% rank in July. The average value of the index has been 13.4% over the last 18 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 Kamakura troubled company index showed some volatility during the month but finished over 10% for the second consecutive month," said Warren Sherman, Kamakura President and Chief Operating Officer. "This further confirms that the credit crisis is affecting the corporate world in general, not the financial services sector alone. In December, the percentage of the global corporate universe with default probabilities between 1% and 5% declined slightly by 0.2% to 7.1%. The percentage of companies with default probabilities between 5% and 10% was up by 0.1% to 1.5% of the universe in December. The percentage of the universe with default probabilities between 10 and 20% was unchanged at 1.0% of the universe. The percentage of companies with default probabilities over 20% was also unchanged 0.7% of the total universe in December."

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.

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 25 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 worldwide distribution alliances with IPS-Sendero ( Unisys (, making Kamakura products available in almost every major city around the globe.

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