The Kamakura troubled company index measures the percentage of more than 35,000 public firms in 67 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 10.67%. Since 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 version 6.0 model was estimated over the period from 1990 to 2015, and includes the insights of the worst part of the recent credit crisis.
The countries currently covered by the index are listed here.
KRIS users can construct their own troubled company index using any of the five default models currently available on KRIS, and by utilizing any maturity of default probability or any probability level that the user considers “troubled.” Kamakura can also aid users in creating a daily updated “expected number of defaults index” for any subset of the KRIS coverage that is of interest to the user.