"The three companies showing the largest rises in short term default probabilities among rated companies during the month were Chesapeake Corporation, Tronox Inc., and Fuji Electric Holdings Co. in Japan," said Warren Sherman, Kamakura President and Chief Operating Officer. "In August, the percentage of the global corporate universe with default probabilities between 1% and 5% increased dramatically by 0.6% to 10.1%. The percentage of companies with default probabilities between 5% and 10% was up 0.1% to 2.3% of the universe in August. The percentage of the universe with default probabilities between 10 and 20% was up sharply, rising 0.3% to 1.5% of the universe. The percentage of companies with default probabilities over 20% was up 0.1% to 1.0% of the total universe in August."
Beginning in January 2006, Kamakura has moved to a global index covering 30 countries using 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.