HONOLULU, August 11, 2004: Kamakura Corporation announced today that has added the full maturity structure of default probabilities to its Kamakura Risk Information Services KRIS-cr default probability service, effective immediately. For all 15,000 public companies covered by the KRIS service, KRIS users are able to display default probabilities for maturities of 1 month, 3 months, 6 months, 1 year, 2 years, 3 years and 5 years. For each of the ten countries covered in the KRIS service, users can track the movement of the term structure of default probabilities for each company over the 15 year history contained in the KRIS data base.
"Default probabilities have a term structure that varies by maturity in a way that reflects macro-economic factors, where we are in the business cycle, and the financial strength of the company now and looking forward," commented Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "Our clients range from purchasers of 30-day commercial paper to arbitrageurs of the first to default swap market, and adding a full term structure of default probabilities was high on our clients' list of priorities. Kamakura's most sophisticated clients are using these default probability term structures to separate the gross credit spread on bonds and the gross premium on credit default swaps into two pieces-the underlying loss component driven by the default term structure and the liquidity component, which is also driven by macro factors. Whether investors have a short term or long term horizon, understanding the risk premium in credit spreads and CDS prices is essential to creating value for investors."
In addition to default probabilities for the 15,000 companies covered, the KRIS default probability service also contains more than 100 million correlations in default probabilities between every pair of companies in the data base. KRIS clients actively use these correlations to arbitrage the first to default swap market and other "correlation" markets like the collateralized debt obligation market. The KRIS default probability service currently includes public companies in the United States, Japan, Great Britain, Australia, Germany, Canada, Hong Kong, France, Singapore, Italy and Spain.
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 Credit Risk Models and the Basel Accords (John Wiley & Sons, 2003) by Kamakura's van Deventer and Kenji Imai and available on Amazon.