Kamakura Troubled Company Index
Kamakura defines a troubled company as one whose annualized monthly default probability is more than 1.00%. The troubled company index represents the percentage of firms in the global KRIS public firm universe classified as troubled. The current troubled company index is based on more than 20,000 firms in 29 countries.
KRIS users can construct their own troubled company index using any of the five default models currently available on KRIS, and by utilizing any maturity of default probability or any probability level that the user considers “troubled.” Kamakura can also aid users in creating a daily updated “expected number of defaults index” for any subset of the KRIS coverage that is of interest to the user.