Press
Contact:
Warren Sherman
President
Kamakura Corporation
1-201-600-7542
wsherman@kamakuraco.com
www.kamakuraco.com
www.kris-online.com
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Press
Contact: |
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HONOLULU, February 10, 2005: Kamakura Corporation announced today that it has
dramatically expanded the number of default probability correlations offered on
its Kamakura Risk Information Service. Kamakura now offers 896 million
correlations between the default probabilities of all possible pairs of
companies formed from its 16,000 company KRIS default probability service. The
KRIS default probability service, which spans 23 countries, includes
correlations for default probability maturities of 1 month, 3 months, 6 months,
1 year, 2 years, 3 years and 5 years. Kamakura is the only firm offering
pair-wise default probability correlations, which are essential to accurate
pricing and valuation of collateralized debt obligations, first to default
swaps, and loan portfolios. Kamakura's Robert Jarrow and Donald R. van Deventer
are featured in the January 2005 issue of RISK Magazine on the correlation
issue.
"Credit market participants have become acutely aware of the dangers of using
equity correlations or of assuming all pair-wise correlations among a group of
companies are constant," said Warren Sherman, Kamakura President and Chief
Operating Officer. "Wall Street is enormously skilled at arbitraging clients
using these assumptions instead of an accurate correlation of the default
probabilities themselves. Jarrow and van Deventer's paper in RISK further shows
how these default probability correlations are directly related to correlations
in the actual events of default. We have been gratified at the world-wide
response to Kamakura's default correlation service and we look forward to
continuing expansion."
Kamakura is offering free trials of its KRIS default probability service to qualified institutions. For more information on Kamakura's free trial offer please visit the Kamakura Corporation web site. Additional information can also be found in Advanced Financial Risk Management (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler available on Amazon. Advanced Financial Risk Management was recently named "best finance book of 2004" on riskbook.com.
About Kamakura Corporation
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 launched its private firm modeling product in January 2004. 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 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, the Middle East, Australia, China, Japan, Korea and many other countries in Asia.
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.
For more information contact
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