Press Release

Kamakura’s Top 10 Troubled Companies:
The Top 10 List No CEO Wants to Be On
23 of 80 Firms Mentioned Have Failed Since June 2015

NEW YORK, February 7, 2017: In June 2015, Dr. Leo de Bever, a prominent investor and former chief executive officer of one of North America’s largest pension funds, said “I wouldn’t want to be the CEO of a company that has moved to the top spot on the Kamakura ‘troubled ten’ list. It's the nearest equivalent to a corporate death sentence.” Since then, the track record of Kamakura’s top 10 risky rated public firms ranking has been even more imposing. For each of the 20 month-ends beginning in June 2015, the 10 riskiest rated firms consisted of 80 firms among the 200 mentions. Even in a relatively benign economic environment, 23 of the firms on the Kamakura “top 10” list have failed.

In its monthly report on the Kamakura troubled company index and world-wide corporate credit conditions, Kamakura Corporation identifies the ten riskiest firms world-wide among companies with corporate debt ratings. In total, Kamakura updates default probabilities on 38,023 public firms each day. Of these firms, 2,579 firms have traditional credit ratings. Kamakura’s ten most troubled rated firms represent just 10/2579 = 0.39% of the rated universe, which on average is of much better credit quality than the total public firm universe. The Kamakura ten most troubled firms are only 0.0026% of the full public firm universe. Beginning in June 2015, Kamakura’s top 10 list has included failed firms like SandRidge Energy Inc. (SD) (mentioned for 7 months), Vanguard Natural Resources (VNR) (7 months), Atlas Resource Partners (ARP) (6 months), and Breitburn Energy Partners (BBEPQ) (5 months). Other failed firms mentioned in one or more of the top 10 lists include Halcon Resources, Emerald Oil, PDG Realty SA Empreendiment, Warren Resources, SFX Entertainment, Stone Energy, American Apparel, Linn Energy, RCS Capital, Triangle Petroleum, Bonanza Creek Energy, Mangum Hunter Resources, Memorial Production Partners, Mercator Lines (Singapore), National Bank of Greece, Peabody Energy, Performance Sports Group, Quiksilver Inc., and Yingli Green Energy Holdings. Many of the 57 other firms mentioned in the top 10 list remain in precarious financial condition.

Martin Zorn, President and Chief Operating Officer for Kamakura Corporation, said Tuesday, “The very high failure rate among the Kamakura top 10 list has taken place in an economic environment that represents fairly steady improvement since 2009. These failures have occurred despite an extremely low interest rate environment during an economic recovery. We expect a much higher failure rate as the economy inevitably slows down, interest rates rise and central banks unwind the extraordinary monetary actions taken in response to the last cycle. We are already seeing higher default probabilities in the longer term portion of the default curve and expect default probabilities to rise across the full universe of public firms in 68 countries covered by the KRIS service.”

Kamakura Corporation launched its initial public firm default probability service in October 2002. The Kamakura Risk Information Services suite of default probability models now includes sovereign default probabilities, non-public firm default probabilities, and U.S. bank default probabilities. The Kamakura default probabilities load seamlessly into the Kamakura Risk Manager (“KRM”) enterprise-wide risk management system, which is now used in 44 countries around the world.

The Kamakura troubled company index measures the percentage of 38,000 public firms in 68 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 14.77%. Beginning in November 2015, the Kamakura index has used the annualized one month default probability produced by the KRIS version 6.0 Jarrow-Chava reduced form default probability model, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The KRIS version 6.0 models were developed using a data base of more than 2.2 million observations and more than 2,600 corporate failures. A complete technical guide is provided to subscribers which includes full model test results and parameters. The KRIS service also includes a wide array of other default probability models that can be seamlessly loaded into Kamakura’s state of the art enterprise risk management software engine Kamakura Risk Manager. Models available include the non-public firm default model, the commercial real estate model, the U.S. bank model, and the sovereign model. Related data includes credit default swap trading volume by reference name, market implied credit spreads, and prices on all traded corporate bonds traded in the United States market. Macro factor parameter subscriptions include Heath, Jarrow and Morton term structure models for government securities in the United States, Germany, the United Kingdom, Canada, Spain, Sweden, Australia, Japan, Thailand and Singapore. All parameters are derived in a no arbitrage manner consistent with the seminal papers by Heath, Jarrow and Morton and Amin and Jarrow. A KRIS Macro Factor Scenario Service subscription includes both risk neutral and “real world” empirical scenarios for interest rates and macro factors.

The version 6.0 model was estimated over the period from 1990 to May, 2014, which includes the insights of the entirety of the recent credit crisis. The 68 countries currently covered by the index are Argentina, Australia, Austria, Bahrain, Bangladesh, Belgium, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Cyprus, Denmark, Egypt, Estonia, Finland, France, Germany, Greece, Hungary, Hong Kong, Iceland, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Kuwait, Luxembourg, Malaysia, Malta, Mexico, Nigeria, the Netherlands, New Zealand, Norway, Oman, Pakistan, Peru, the Philippines, Poland, Portugal, Qatar, Romania, Russia, Saudi Arabia, Serbia, Singapore, Slovakia, Slovenia, South Africa, South Korea, Spain, Sri Lanka, Sweden, Switzerland, Taiwan, Thailand, Turkey, the United Arab Emirates, the United Kingdom, the United States, and Viet Nam.

To follow the troubled company index and other risk commentary by Kamakura on a daily basis, please follow

Kamakura CEO Dr. Donald van Deventer (,
Kamakura President Martin Zorn ( , and
Kamakura’s official twitter account (

About Kamakura Corporation
Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura was named to the World Finance 100 by the Editor and readers of World Finance magazine in 2012 and 2016. In 2010, Kamakura was the only vendor to win 2 Credit Magazine innovation awards. Kamakura Risk Manager, first sold commercially in 1993 and now in version 8.1, is the first enterprise risk management system with users focused on credit risk, asset and liability management, market risk, stress testing, liquidity risk, counterparty credit risk, and capital allocation from a single software solution. The KRIS public firm default service was launched in 2002. The KRIS sovereign default service, the world’s first, was launched in 2008, and the KRIS non-public firm default service was offered beginning in 2011. Kamakura added its U.S. Bank default probability service in 2014. Kamakura has served more than 330 clients ranging in size from $1.5 billion to $1.6 trillion in assets. Kamakura’s risk management products are currently used in 43 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, South America, Australia, Japan, China, Korea, India and many other countries in Asia.


Kamakura has world-wide alliances with Fiserv ( and SCSK Corporation ( making Kamakura products available in almost every major city around the globe.

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