SOURCE: Kamakura Corporation

March 22, 2005 11:57 ET

Ambac Financial Group Subscribes to Kamakura Default Probabilities and Correlations

KRIS Default Information to Be Used for Credit Portfolio Risk Control

HONOLULU, HI -- (MARKET WIRE) -- March 22, 2005 -- Kamakura Corporation reported today that AAA/Aaa -- rated Ambac Financial Group, Inc. (NYSE: ABK) has subscribed to Kamakura Risk Information Services default probability and default correlation service. Ambac will use Kamakura default probabilities and default correlations to measure correlated credit risk in both its current flow and portfolio of collateralized debt obligations.

"Kamakura has distinguished itself in credit risk modeling with the quality of its research and its full disclosure to clients of its credit risk model performance," said Dr. Robert Selvaggio of Ambac. "We believe that the KRIS default probability service is unique world-wide in its ability to produce default correlations for any pair of companies with default probabilities on the KRIS default probability service. Without this pair wise correlation, credit risk cannot be modeled and measured accurately."

"Kamakura is honored to be working with Ambac in credit risk management," commented Warren Sherman, Kamakura President and Chief Operating Officer. "The Company's triple-A rating from the major rating agencies is testimony to Ambac's reputation in credit risk management. Both firms will benefit from active collaboration in credit risk modeling going forward."

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

About Ambac

Because of its financial strength, solid underwriting standards and management focus, Ambac Assurance Corporation, Ambac's principal operating subsidiary, has earned triple-A ratings from Moody's Investors Service, Inc. Standard & Poor's Ratings Services, Fitch, Inc. and Rating and Investment Information, Inc.

While remaining a leading insurer of bonds, Ambac has significantly grown its franchise and has successfully applied its triple-A rated guarantee to markets beyond traditional public finance. Ambac takes pride in its ability to customize financial guarantee packages to accommodate a broad range of clients and to get deals done quickly and efficiently. Consequently, the Company is now a leading provider of financial guarantees to the structured, asset-backed and mortgage-backed securities sectors. In addition, opportunities outside the U.S. are growing. Ambac works with clients in Europe, Australia, Japan and select markets in Latin America, putting the Ambac guarantee to work to meet financing needs.

Ambac has total assets in excess of $17 billion and market capitalization of more than $8 billion.

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 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 system. Kamakura has clients ranging in size from $3 billion in assets to $1 trillion in assets. Kamakura's risk management software is currently used in the United States, Germany, Canada, 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 world-wide distribution alliances with IPS-Sendero (www.ips-sendero.com) and Unisys (www.unisys.com), making Kamakura products available in almost every major city around the globe.

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