"Kamakura is firmly committed to a multiple models approach to default probability and default correlation modeling," said Warren Sherman, Kamakura President and Chief Operating Officer. "Kamakura will be expanding its menu of Basel II-compliant default probability estimation techniques to include default probabilities based on credit derivatives prices. We will also be offering hybrid reduced form and Merton model default probabilities where credit default swap pricing is a key input to the models. We are extremely impressed with the GFI credit default data base, and our client base has greeted the GFI-Kamakura alliance with great enthusiasm."
"Kamakura brings commitment to transparency, multiple models, and credit model testing in the default probability and default correlation market," said Scott Fitzpatrick, global head of sales at GFI. "This kind of commitment is key to modeling default probability consistent with Basel II. Kamakura's test results have consistently found that credit derivatives prices add considerable incremental accuracy to default probability modeling. We are very pleased to work with Kamakura and Kamakura's clients going forward."