Kamakura Releases KRIS-CDO for Web-Based Collateralized Debt Obligation Analysis

Honolulu - 24 April 2007

Kamakura Corporation announced today the introduction of its on-line collateralized debt obligation (CDO) analysis service, KRIS-CDO. The KRIS-CDO is seamlessly integrated with the existing Kamakura Risk Information Services default probability and correlation service, launched by Kamakura in 2002. The web-based KRIS-CDO service incorporates the risk analytics of the world’s most advanced enterprise risk software, Kamakura Risk Manager (KRM), with the KRIS default probabilities to produce the industry’s first CDO analysis tool that allows the user to choose from multiple default models and conduct a rich multiperiod simulation. The default models behind the KRIS-CDO analysis are now used throughout North America, Europe, and Asia and they have been reviewed intensely with financial regulators in 12 countries.

“KRIS-CDO provides CDO investors and structurers with a powerful and easy-to-use tool that provides real insight into the risks faced in the CDO market," said Warren Sherman, Kamakura President and Chief Operating Officer. “Our clients have told us clearly what features are critical to them. They want a seamless integration between default probabilities and analysis. They want to change default models with a mouse-click. They want a more sophisticated analysis of default correlation than one which assumes all pairs of companies have the same default correlation. They want a rich multiperiod calculation that recognizes defaults are spread over time, not bunched at the beginning or end of a single period analysis. Finally, they want control over the degree to which the business cycle and macroeconomic factors move default probabilities up and down over the credit cycle. That’s what KRIS-CDO delivers.”

The KRIS-CDO service is currently focused on synthetic CDOs. For more complex CDO structures such as those with complex collateral, Kamakura has offered CDO analytics in its enterprise risk management system KRM since 2003. The KRIS-CDO service offers four choices for default modeling: default probabilities randomly sampled from history, default probabilities consistent with the Merton model, default probabilities derived using the “reduced form” approach, and special macro economic factor-linked default probabilities. Scenario analysis and multi-period simulations are standard. Users have access to the Kamakura’s multiple probability models and term structures of default from within KRIS-CDO.

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