SOURCE: Kamakura Corporation

May 02, 2006 10:00 ET

Global Credit Quality Index Again Reaches Record Level for Best Credit Conditions

Kamakura Credit Index Breaks Record Set in March

HONOLULU, HI -- (MARKET WIRE) -- May 2, 2006 -- Kamakura Corporation reported Tuesday that its monthly global index of troubled companies reached its lowest level in April since the index was begun in 1990. The April record comes on the heels of the new record set in March. Credit conditions in April were better than at any time in the last 16 years. The new record of 5.5% of the public company universe represents a 0.2% decline from the 5.7% record level set in March 2006. It further improves on prior record set in March 1994 of 5.9%. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The all time high of the index was 28%, reached at the peak of the last recession in September, 2001. Kamakura expanded the index beginning in January to a global index covering 16,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"Credit conditions continue to be at the best levels we have seen in 16 years," said Warren Sherman, Kamakura President and Chief Operating Officer. "In spite of the well-publicized problems in the auto sector, global credit quality continues to be so good that the index of troubled companies is less than half the sixteen year average of 13.7%. The number of companies with default probabilities between 1% and 5% stayed constant compared to April at 4.0% of the universe. Companies with default probabilities between 5 and 10% improved by 0.1% to 0.8% of the universe. Companies with default probabilities between 10% and 20% also improved 0.1% to 0.5% of the universe. The number of global companies with default probabilities over 20% declined by 0.1% to only 0.2% of the universe."

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, 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 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 19 countries, including the United States, Canada, Germany, the Netherlands, France, Switzerland, the United Kingdom, Eastern Europe, 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.

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