Kamakura Announces Credit Risk and Basel II Master Class in London March 30 Seminar Organized by FOW Ltd.

HONOLULU, February 13, 2004: Kamakura Corporation announced today it will offer a credit risk models and Basel II master class on March 30, 2004 in London in conjunction with FOW Ltd. FOW Ltd. is the well-known publisher of derivatives monthly FOW and organizer of Derivatives and Securities World events world-wide. The master class will be led by Dr. Donald R. van Deventer, Kamakura CEO and co-author with Kenji Imai of the popular book Credit Risk Models and the Basel Accords.

"The intensity of interest in a more modern approach to credit risk management is being driven by new instruments like first-to-default swaps and collateralized debt instruments, but the benefits of newer credit technology is even more important from a total balance sheet perspective," said Warren Sherman, Kamakura President and Chief Operating Officer. "We believe that the FDIC's new loss distribution model and Basel II certifications for the Jarrow credit models will further accelerate the adoption of a multiple models approach by the world's most sophisticated financial institutions." Robert Jarrow, Kamakura's director of research, first proposed the reduced form approach to credit modeling in a paper with Stuart Turnbull in 1995.

The London course is titled "A practical approach to credit risk models and the Basel Accords." It covers the objectives of the credit risk process, the evidence on macro-economic factors and default, and how macro-factors can be incorporated in reduced form credit models to best capture the correlations and fat tails' of losses that typify the most difficult periods in the credit cycle. The course will feature a detailed overview of credit model performance tests required by the proposed New Capital Accords from the Basel Committee on Banking Supervision. Test results will be presented based on Kamakura's KRIS-cr default data base of more than 1.2 million default probabilities for North American companies from 1989 to the present.

A brochure for the master class is available on the events page of the Kamakura Corporation web site. Participants can also register on the FOW web site.

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