SOURCE: Kamakura Corporation

December 05, 2005 10:00 ET

Corporate Credit Quality Improves Slightly in November

Kamakura Credit Index Moves Within Narrow Band

HONOLULU, HI -- (MARKET WIRE) -- December 5, 2005 -- Kamakura Corporation announced today that its monthly index of troubled companies in the United States improved slightly in November, after a sharp jump in October. Kamakura's troubled company index reached 13.2% of the public company universe, down from 13.8% in October. The troubled company index has moved in a narrow range between 13% and 14.5% for the last six months. Kamakura classifies any company with a default probability of more than one percent as troubled.

"The narrow variation in the troubled company index includes a steady increase in the number of companies with default probabilities in excess of 20%," said Warren Sherman, Kamakura President and Chief Operating Officer. "Currently, there are 168 companies in North America with default probabilities over 20%, the highest absolute number since October 2004. As a percent of the whole public company universe, these risky firms jumped 0.4% to 2.3% of the universe in November. Last month, the number of companies with default probabilities between 1% and 5% eased to 7.8% of the universe from 8.6% in October. Companies with default probabilities between 5 and 10% were steady at 1.9% of the universe compared to a month earlier. Companies with default probabilities between 10% and 20% declined slightly to 1.3% of the universe from 1.4% in October."

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 17 countries, including the United States, Canada, Germany, Switzerland, the United Kingdom, the Middle East, Africa, Australia, 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 ( and Unisys (, making Kamakura products available in almost every major city around the globe.

For more information, contact:

Kamakura Corporation
2800 Woodlawn Drive, Suite 138
Honolulu, Hawaii  96822
Telephone: 1-808-539-3830
Facsimile: 1-808-539-3748
Web site:

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