SOURCE: Kamakura Corporation

Kamakura Corporation

March 02, 2009 10:00 ET

Kamakura Reports Global Corporate Credit Quality Remains Stable in February

NEW YORK, NY--(Marketwire - March 2, 2009) - Kamakura Corporation announced Monday that the Kamakura index of troubled public companies for February changed only slightly from January. The Kamakura global index of troubled companies increased modestly by 0.1% to 23.2% of the public company universe, still 0.8% below the recent peak of 24.0% reported for December 2008. Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. The all-time high in the index was 28.0%, recorded in September 2001. The index shows that credit conditions are essentially unchanged from January. Credit conditions remain better than only 6.2% of the monthly periods since the start of the index in January 1990. The all-time low in the index was 5.4%, recorded in April and May 2006. The index covers more than 21,000 public companies in 30 countries using the fourth generation version of Kamakura's advanced credit models. Kamakura noted that it continues to expand the breadth of its global credit index, with 350 public firms in Australia and more than 1000 public firms in Korea recently added to the Kamakura Risk Information Services default probability data base.

Separately, the company also announced that World Scientific Publishing Company has published the collected works of its Managing Director for Research Robert A. Jarrow, Ronald and Susan Lynch Professor of Investment Management at the Johnson School of Management at Cornell University and Senior Fellow at the Federal Deposit Insurance Corporation ( The new volume is entitled "Financial Derivatives Pricing: Selected Works of Robert Jarrow" and is available at on-line retailers and

Kamakura also provided an update on troubled firms underlying its index. "On February 3, Kamakura reported that Royal Bank of Scotland was among the rated companies with the largest one month jumps in short term default risk," said Warren Sherman, Kamakura President and Chief Operating Officer. "On February 26, the bank agreed to a deal which could raise the U.K. government's ownership to 95 percent. This month, among rated public companies, the companies showing the sharpest rise in short term default risk were Chemtura Corporation, Arvinmeritor Inc., Belo Corporation, Alcatel-Lucent, and Office Depot Inc. In February, the percentage of the global corporate universe with default probabilities between 1% and 5% increased by 0.2% to 13.3%. The percentage of companies with default probabilities between 5% and 10% was up 0.1% to 4.3% of the universe in February. The percentage of the universe with default probabilities between 10 and 20% was down for the second month in a row, dropping 0.2% to 2.8% of the universe. The percentage of companies with default probabilities over 20% was down 0.1% to 2.7% of the total universe in February, compared with a peak of 3.3% in December."

The Kamakura troubled company index is a global index covering 30 countries. The index uses 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, Luxembourg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

About Kamakura Corporation

Founded in 1990, Honolulu-based 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 announced the KRIS Sovereign Default Probability Service on May 19, 2008. Kamakura launched its collateralized debt obligation (CDO) pricing service KRIS-CDO in April 2007. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, transfer pricing, and capital allocation. The Kamakura Risk Manager system, now in version 7.0, was first offered commercially in 1993 and has been continually enhanced since then. Kamakura has served more than 185 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 27 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world wide distribution alliances with Fiserv (, Unisys (, and Zylog Systems ( making Kamakura products available in almost every major city around the globe.

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