SOURCE: Kamakura Corporation

December 04, 2007 10:00 ET

Kamakura Troubled Company Index Makes Largest Jump Since September 2001

HONOLULU, HI--(Marketwire - December 4, 2007) - Kamakura Corporation announced today that its monthly index of troubled public companies showed the greatest one month increase since September 2001. The percent of public companies classified as troubled jumped 2.4% in November to 10.4% of the public company universe. In September 2001, the index had leaped 3.0% to reach its all-time high of 28.0% of the public company universe. The index is now a full 5.0% higher than its all-time low 5.4%, a level reached in April and May 2006. Current credit conditions are still better than 63.3% of the monthly periods since the start of the index in January 1990. This is down sharply, however, from a 95.2% rank in July. The average value of the index has been 13.4% over the last 18 years. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index now covers more than 20,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.

"In the last 18 years, there have only been six increases in the Kamakura troubled company index that were larger than the increase in November," said Warren Sherman, Kamakura President and Chief Operating Officer. "The credit crisis that began in late spring has now begun to affect the wider corporate universe on a broad scale. In November, the percentage of the global corporate universe with default probabilities between 1% and 5% leaped by 1.7% to 7.3% in November. The percentage of companies with default probabilities between 5% and 10% was up by 0.3% to 1.4% of the universe in November. The percentage of the universe with default probabilities between 10 and 20% was up 0.2% to 1.0% of the universe. The percentage of companies with default probabilities over 20% also increased by 0.2% to 0.7% of the total universe in November."

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, 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, 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 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. Kamakura has served more than 160 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 25 countries, including the United States, Canada, Germany, the Netherlands, France, 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 IPS-Sendero ( and Unisys (, making Kamakura products available in almost every major city around the globe.

Contact Information