Kamakura Corporation provides the world's first multiple model default
probability service under its information product line, Kamakura Risk
Information Services (KRIS). Version 4.1 of Kamakura's public firm default
probability
product, KRIS-Credit Risk (KRIS-cr), is available immediately on a daily
basis. Kamakura announced its KRIS Sovereign Default Service on May
19, 2008. The Kamakura sovereign default probabilities will be
available from June 2008 on a daily basis.A Common Platform for
Testing Under Basel II: The New Basel Capital Accord
KRIS-cr is designed to be fully compliant with the requirements for
credit model testing under the Basel II provisions of the New Basel Capital
Accord. The Accord credit model requirement is important:
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Download:
KRIS Sovereign Default Service -
306kb PDF
KRIS Public Firm Default Probability Model -
372kb PDF
KRIS Troubled Company Index -
64kb PDF
Japanese KRIS Public Firm Default Probability Model -
205kb
PDF |
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"A bank must demonstrate to its supervisor that the internal validation
process enables it to assess the performance of internal rating and risk
quantification systems consistently and meaningfully."
Section 302, p. 55, The New Basel Capital Accord, Basel Committee on
Banking Supervision, May 31, 2001.
Kamakura's KRIS-cr default probability product line to be fully compliant
with the Basel requirements because of a number of unique features of the
KRIS-cr default probability service:
- It is a multiple models service, so all models can be
tested on a common platform, subject to identical tests on identical data
- It includes all major classes of public firm models, including both
structural models based on the approach of Robert Merton and reduced form
models developed by Robert Jarrow, Darrell Duffie, and others
- Kamakura has no vested interest in the performance of any
one model because Kamakura offers a full menu of models. Kamakura’s only
interest is creating shareholder value for its clients by making
delivering a high-value default probability service that meets the Basel
requirements
- Kamakura is committed to the continuous improvement of
all models that it delivers to KRIS-cr clients. Modeling technology gets
better every day and these improvements will be immediately reflected in
the KRIS-cr product
- Kamakura is committed to a continually expanding list of
models in KRIS-cr. All models that meet a high standard of performance
will be promptly included in KRIS-cr
- All model parameters will be made available to clients
- The statistical significance of all model parameters will
be made available to clients
- The accuracy of all models under standard performance
tests will be made available to clients
- The default probabilities and associated parameters sold to
clients under KRIS-cr can be read without modification by the
Kamakura
Risk Manager enterprise wide risk management suite
- Kamakura Risk Manager is used to produce the default
probabilities. Kamakura uses its own software to produce the default
probabilities—exactly the same software we sell to clients.
- Kamakura makes full disclosure of all mathematics.
Nothing is withheld from clients who sign a standard confidentiality
agreement. This is a Basel requirement; labeling something as
“proprietary” causes clients to fail the model testing requirements given
above. Robert Jarrow has prepared a 200 page technical memorandum, for
instance, which explains the reduced form default probabilities produced
under KRIS-cr.
KRIS-cr Default Probabilities Available Now
Four distinct default probability models are available immediately for
public firms under
KRIS-cr, each labeled KDP for Kamakura default probability. Please download our
technical public firm
brochure
(372kb PDF) for more information. For details of the KRIS sovereign
default service, please download the sovereign
brochure
(306kb PDF) for additional information on the sovereign model and contact
info@kamakuraco.com for a
confidential PowerPoint overview of the sovereign model. |
