"Kamakura has been gratified by the international response to our multiple models default probability service KRIS," said Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "Major financial institutions around the world have told us how highly they value a rating-agency-independent default probability service that includes Basel II-compliant test results on each of the default probability models Kamakura offers. The Kamakura default probability product is the first to include 'reduced form' credit models, which have moved to the forefront in both theory and practice. With the increase in KRIS coverage, we offer even more complete correlation coverage for participants in the global markets for collateralized debt obligations, first to default swaps, and loan portfolio trading."
"Reduced form" credit models differ from the older Merton credit model technology in that they offer a complete no arbitrage multi-period valuation, pricing and hedging framework for financial assets ranging from mortgage loans to small business loans to credit default swaps on corporations and sovereigns. For this reason, the Federal Deposit Insurance Corporation announced (www.kamakuraco.com/pr_121603.htm) on December 10, 2003 that it was adopting the reduced form modeling framework (http://www.fdic.gov/bank/analytical/fyi/2003/121003fyi.html) for its Congressionally-mandated loss distribution model. This model features Kamakura's director of research, Dr. Robert Jarrow, as lead author. Kamakura has recently completed detailed presentations of its credit modeling technology and model accuracy test results to three European regulatory agencies to assist these agencies in assessing the Basel II-compliance of the financial institutions they supervise.
Kamakura is offering free trials (http://www.kamakuraco.com/KRIS_overview.htm) of its KRIS default probability service to qualified institutions around the world. The KRIS service includes reduced form default probability models, an advanced Merton-based default probability, and a hybrid Merton-reduced form model. For more information on Kamakura's free trial offer please visit the KRIS information page found on the Kamakura web site. Additional information can also be found in Credit Risk Models and the Basel Accords (John Wiley & Sons, 2003; http://www.kamakuraco.com/books_DVD_book3.htm) by Kamakura's van Deventer and Kenji Imai and available from Amazon (http://www.amazon.com/exec/obidos/tg/detail/-/0470820918/qid=1086380468/sr=1-1/ref=sr_1_1/104-9464395-0315110?v=glance&s=books).