Kamakura Risk Information Services Sovereign Default Probabilities Now Updated Daily
NEW YORK, September 24, 2008: Kamakura Corporation announced Wednesday that sovereign default probabilities are now available on the Kamakura Risk Information Services web site www.kris-online.com. The KRIS sovereign default service default probabilities, announced by Kamakura on May 19, are the world's first commercially available sovereign default probabilities. The sovereign default probability service is seamlessly integrated with the KRIS corporate default probabilities, first offered in October 2002. The Kamakura sovereign default probabilities were developed under the direction of Kamakura Managing Director Robert A. Jarrow and Kamakura Senior Research Fellow Jens Hilscher. The default probabilities for 180 countries are now updated daily and have a term structure of default probabilities out to five years. The default probabilities are derived from a series of logistic regressions which produce default probabilities of the modern "reduced form" type, rather than the legacy Merton-style default probabilities whose performance has been called into question in the current credit crisis.
"With the recent government seizure of AAA-rated FNMA and FHLMC and the rescue of AIG, rated AAA as recently as 2005, more and more investors are abandoning ratings as a measure of default risk," said Warren Sherman, Kamakura President and Chief Operating Officer. "It is now widely recognized that the 100 year old rating system is riddled with unsolvable problems. What are the maturity and default risk associated with ratings? The agencies and ratings users are unable to articulate an answer to that simple question. The KRIS sovereign default probabilities are very specific with respect to the default probability at all monthly maturities out to five years. Kamakura updates these default probabilities daily without regard for the "relationship" to the rated entity, since KRIS default probabilities are paid for by the user, not the entity being rated. The result is greater accuracy and much greater responsiveness than ratings, which are hobbled by political considerations both in terms of the agency-issuer relationship and internal rating agency politics. Kamakura is very grateful to the major international financial institutions around the world who were instrumental in the development and design of the KRIS Sovereign Default Service."
The KRIS sovereign default service estimates default probabilities based on a monthly data base of 24,000 observations of sovereigns dating back to 1980. The service, in development for more than two years, is delivered with a proprietary Kamakura Risk Information Services Technical Guide. The Technical Guide contains an extensive array of tests of the sovereign model's performance that are designed to achieve "best practice" status for model testing under the highest standards of corporate governance in the Basel II era. For more confirmation on the KRIS sovereign default service, please contact Warren Sherman, President, at 1-201-600-7542.
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. 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.
For more information contact
Kamakura Corporation
2222 Kalakaua Avenue, 14th Floor, Honolulu, Hawaii 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Information: info@kamakuraco.com
Web site: www.kamakuraco.com