SOURCE: Kamakura Corporation

May 03, 2005 10:00 ET

Kamakura Announces Sharp Decline in Corporate Credit Quality

Kamakura Index of Troubled Companies Rises for Fourth Consecutive Month

HONOLULU, HI -- (MARKET WIRE) -- May 3, 2005 -- Kamakura Corporation announced today that its monthly index of troubled companies in the United States rose sharply for the fourth consecutive month, hitting 16.0% of the public company universe in April. The Kamakura troubled company index jumped up 2.4% from March, the largest single month increase since Kamakura first launched the troubled company index. The index is now at its highest level since September 2003. Kamakura classifies any company with a default probability of more than one percent as troubled.

"The Kamakura troubled company index indicates a serious decline in credit quality with its largest monthly jump on record," said Warren Sherman, Kamakura President and Chief Operating Officer. "The number of companies with default probabilities between 1% and 5% jumped very significantly to 9.6% of the universe, up from 8.1% in March. Companies with default probabilities between 5 and 10% were up 0.4% to 2.5% of the universe. Companies with default probabilities between 10% and 20% also rose 0.4% to 1.7% of the universe. The riskiest firms in the universe, those with default probabilities over 20%, rose 0.2% to reach 2.2% of the universe in April."

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 Donald R. 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 trillion in assets. Kamakura's risk management software is currently used in the United States, Germany, Canada, the United Kingdom, Australia, the Middle East, 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 worldwide distribution alliances with IPS-Sendero ( and Unisys (, making Kamakura products available in almost every major city around the globe.

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