"The October credit quality of public companies in North America was variable from week to week, but the downward trend in credit quality is clear," commented Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "The number of companies with default probabilities between 1% and 5% stayed at 8.3% of the universe compared to September. Companies with default probabilities between 5 and 10% were also unchanged at 2.4% for October. Companies with default probabilities between 10% and 20% increased 0.1% to 1.5% of the universe. The riskiest firms in the universe, those with default probabilities over 20%, now total 2.4% of the universe, an increase of 0.1%."
Kamakura is offering free trials of its KRIS default probability service to qualified institutions. For more information on Kamakura's free trial offer please contact Kamakura at firstname.lastname@example.org . More information can also be found on the Kamakura Corporation web site and in Advanced Financial Risk Management (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler.