SOURCE: Kamakura Corporation

April 04, 2005 10:00 ET

Kamakura and GFI Group Partner for Enhanced Kamakura Default Probability and Default Correlation Analysis

HONOLULU, HI -- (MARKET WIRE) -- April 4, 2005 -- Kamakura Corporation announced today that it has signed an agreement with GFI Group Inc. (NASDAQ: GFIG) to use GFI's extensive credit default swap quotation database in its Kamakura Risk Information Services default probability and default correlation service (KRIS).

"Kamakura is firmly committed to a multiple models approach to default probability and default correlation modeling," said Warren Sherman, Kamakura President and Chief Operating Officer. "Kamakura will be expanding its menu of Basel II-compliant default probability estimation techniques to include default probabilities based on credit derivatives prices. We will also be offering hybrid reduced form and Merton model default probabilities where credit default swap pricing is a key input to the models. We are extremely impressed with the GFI credit default database, and our client base has greeted the GFI-Kamakura alliance with great enthusiasm."

"Kamakura brings commitment to transparency, multiple models, and credit model testing in the default probability and default correlation market," said Scott Fitzpatrick, global head of sales at GFI. "This kind of commitment is key to modeling default probability consistent with Basel II. Kamakura's test results have consistently found that credit derivatives prices add considerable incremental accuracy to default probability modeling. We are very pleased to work with Kamakura and Kamakura's clients 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 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 GFI Group Inc.

GFI Group Inc. is a leading inter-dealer broker specializing in over-the-counter derivatives products and related securities. GFI Group Inc. provides brokerage services, market data and analytics software products to institutional clients in markets for a range of credit, financial, equity and commodity instruments. Headquartered in New York, GFI was founded in 1987 and employs more than 800 people with additional offices in London, Hong Kong, Tokyo, Singapore and Sydney. GFI serves over 1,300 institutional clients including leading investment and commercial banks, large corporations, insurance companies and large hedge funds. Its brands include GFI, GFInet® and FENICS®.

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 worldwide 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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