"Credit market participants have become acutely aware of the dangers of using equity correlations or of assuming all pair-wise correlations among a group of companies are constant," said Warren Sherman, Kamakura President and Chief Operating Officer. "Wall Street is enormously skilled at arbitraging clients using these assumptions instead of an accurate correlation of the default probabilities themselves. Jarrow and van Deventer's paper in RISK further shows how these default probability correlations are directly related to correlations in the actual events of default. We have been gratified at the world-wide response to Kamakura's default correlation service and we look forward to continuing expansion."
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 Advanced Financial Risk Management (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler available on Amazon. Advanced Financial Risk Management was recently named "best finance book of 2004" on riskbook.com.