Kamakura Risk Information Services (KRIS)

Kamakura's industry leading research coupled with its established expertise in credit technology solutions provide clients with the data, tools and insights necessary to manage the risks inherent in their portfolios and identify market opportunities.

KRIS offers industry leading quantitative credit risk measures such as default probabilities, implied spreads and implied ratings for corporate and sovereign counterparties. These measures are updated daily and available via the Web or downloadable for use with existing systems or in conjunction with the Kamakura Risk Manager enterprise wide risk management suite.

Kamakura utilizes the KRIS default and correlation service to track a global index of more than 40,000 public companies in 75 countries to produce the company's monthly default probability reports; default predictions are based on a sophisticated combination of financial ratios, stock price history, and macro-economic factors.

KRIS is critical to risk managers, credit managers, treasurers, investors, traders and other financial decision makers in banking, insurance, investment management, corporations and governments.

 Kamakura Risk Information Services
Kamakura Interest Rate Risk and Yield Curve Data

Beginning in September 2011, Kamakura has offered to clients a sophisticated array of interest rate data to clients for use in valuation, assessing the risk of yield curve movements, and for interest rate risk scenario generation.  The first offering of interest rate and yield curve data includes daily U.S. Treasury forward rate curves, zero coupon bond curves, and  par coupon bond yield curves available daily from January 2, 1962.  This data is derived from raw data provided by the Board of Governors of the Federal Reserve using the maximum smoothness forward rate smoothing technique of Kamakura’s van Deventer and Adams (1994) and the latest version of Kamakura Risk Manager.

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Kamakura Default Probability Models

Kamakura provides state of the art default probability models for a wide range of counterparties, including public firms, non-public firms, and sovereigns. The Kamakura Default Probability Models provide investors, investment managers, dealers, traders, lenders and auditors a simple, objective means of assessing the credit quality of their counterparties.

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Credit Portfolio Analysis
KRIS Credit Portfolio Analysis provides sophisticated investors an independent, state-of-the-art ability to evaluate both the market value and loss distribution of credit portfolios and tranches of portfolios, especially those of synthetic collateralized debt obligations. The Credit Portfolio Analysis is an add-on to Kamakura Risk Information Services’ KRIS-cr Version 4.1 default probabilities. read more ...

Troubled Company Index
KRIS Troubled Company Index provides estimates of the full term structure of default probabilities of an individual firm based upon current public information about the firm, its economic environment, and the current risk of the public firms in its industry. Since 2002 Kamakura has been reporting its troubled company index via media outlets immediately after the end of each month. read more ...

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