Press
Contacts:
Kamakura Corporation
1-808-791-9888
info@kamakuraco.com
www.kamakuraco.com
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Press
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HONOLULU, January 6, 2004: Kamakura Corporation reported today the number of troubled companies in the United States continued to decline in December. Kamakura rated 13.1% of public companies in the "high risk" category on January 2, down substantially from 14.4% reported a month earlier. Kamakura defines a company as "high risk" if its default probability over the next year is more than one percent.
Kamakura's analysis showed that 6.2% of the North American universe of public companies had an annual probability of default between 1% and 5% on January 2 compared to 6.8% in the previous month. Companies with default probabilities between 5% and 10% were 1.7% of the North American universe, and companies in the 10% to 20% range were another 1.5% of the universe. Both figures were slight improvements over the month-earlier figures. Kamakura's analysis showed that 3.7% of North American corporations were in the very high risk category, defined as companies with default probabilities between 20% and 100%. This is an 0.4% improvement over the month-earlier figure.
"The number of high risk companies in North America continued its decline this month, reflecting improving economic conditions and stronger balance sheets," commented Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "The 13.1% of the universe we classify as 'high risk' is down from 32.0% in November 2002, a very substantial reduction in the number of companies at risk."
Kamakura's default probability estimates have proven highly accurate in forecasting defaults over the 1989-2003 period. The number of defaults predicted by Kamakura's default probability models over that time period was 97% of the defaults that actually occurred.
The Federal Deposit Insurance Corporation recently announced a new loss distribution model for the bank and savings and loan deposit insurance funds with Kamakura's Professor Robert Jarrow as lead author. This paper, which uses an approach similar to the Kamakura default probabilities for listed companies, is available for download from the research section (see working paper WP20) of Kamakura's web site www.kamakuraco.com, along with detailed information on Kamakura's default probability service.
For more information on advanced hazard rate modeling and reduced form credit model research of Kamakura research director Professor Jarrow, see Credit Risk Models and the Basel Accords (John Wiley & Sons, 2003) by Kamakura's van Deventer and Kenji Imai and available for purchase from Amazon.
Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities for listed companies since November, 2002. Kamakura is also the first company in the world to develop and install a fully integrated credit risk, market risk, asset and liability management, and transfer pricing system. Kamakura has more than 45 clients ranging in size from $3 billion in assets to $1 trillion in assets. Kamakura's risk management software is currently used in the United States, Germany, Canada, the United Kingdom, Mexico, Japan, Australia, Korea, and Hong Kong.
Kamakura's research effort is led by Professor Robert Jarrow, who was named Financial Engineer of the Year in 1997 by the International Association of Financial Engineers. Professor Jarrow and Dr. van Deventer were both named to the 50 member RISK Hall of Fame in December 2002. Kamakura management has published twenty-one books and more than 100 publications on credit risk, market risk, and asset and liability management. Kamakura has world-wide distribution alliances with IPS-Sendero and Unisys, making Kamakura products available in almost every major city around the globe.
Kamakura Corporation
2222 Kalakaua Ave.
Suite 1400
Honolulu, HI 96815
Telephone: 1-808-791-9888
Facsimile: 1-808-791-9898
Information: info@kamakuraco.com
Web site: www.kamakuraco.com