"The wide-spread recognition that a severe recession is underway affected the corporate universe across the board,â said Warren Sherman, Kamakura President and Chief Operating Officer. "Among rated public companies, Anglo Irish Bank Corporation, Bank of Ireland, Citadel Broadcasting Corporation, and Thomson (of France) showed the greatest rise in short term default probabilities during October. In October, the percentage of the global corporate universe with default probabilities between 1% and 5% increased very dramatically by 2.3% to 13.2%. The percentage of companies with default probabilities between 5% and 10% was up 1.6% to 4.2% of the universe in October. The percentage of the universe with default probabilities between 10 and 20% rose sharply by 1.2% to 2.8% of the universe. The percentage of companies with default probabilities over 20% was up 0.8% to 2.0% of the total universe in October."
The Kamakura troubled company index is a global index covering 30 countries. The index uses the annualized one month default probability produced by the best performing credit model of the Kamakura Risk Information Services default and correlation service. The model used is the fourth generation Jarrow-Chava reduced form default probability, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The countries currently covered by the index include Australia, Austria, Belgium, Brazil, Canada, Denmark, Finland, France, Germany, Hong Kong, India, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.