"The improvement in credit quality that began in November continued each week throughout December," commented Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "Except for the most troubled companies, all components of the troubled company index showed significant monthly improvement. The number of companies with default probabilities between 1% and 5% was 7.0% of the public company universe, down from 7.8% in November. Companies with default probabilities between 5 and 10% were down to 1.6% of the universe from 2.0% in November. Companies with default probabilities between 10% and 20% also improved 0.4% to 1.2% of the universe. The riskiest firms in the universe, those with default probabilities over 20%, increased slightly to 2.3% of the universe, up 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. Advanced Financial Risk Management was recently named "best finance book of 2004" on riskbook.