Thursday, July 02, 2009
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New Model Version 4.1

KRIS 4.1 is the fourth major annual enhancement of Kamakura’s multiple public firm credit models. The powerful predictive power of the enhanced models has been confirmed by extensive testing at Kamakura, in academia, and at major financial institutions around the world. KRIS 4.1 models include Reduced Form, Merton and Hybrid models.

KDP Credit Models
Jarrow-Chava (KDP-jc)
Jarrow-Merton (KDP-jm)
Merton-Structural (KDP-ms)
Business Mortality Model (KDP-bm)
Basel II
KRIS is designed to be fully compliant with the requirements for credit model testing under the Basel II provisions of the New Basel Capital Accord.
Research
Kamakura Papers
Kamakura Risk Information Services (KRIS) provides credit managers with the quantitative foundations required to make optimal credit investment decisions. We offer default probabilities and default correlations for publicly traded companies as well as private firms for all of the major markets.
KRIS coverage includes over 26,500 companies in countries  throughout North America, Europe, Asia and the Pacific. Coverage continues to expand on a regular basis.
We are the first in the world to implement a ‘multiple models’ approach in order to reduce model risk, accommodate varying data quality scenarios and enable risk managers to decide the most appropriate performance measure for specific situations.
KRIS is used by major financial institutions around the world as a means of pricing credit risk and is compliant with the Basel II provisions of the new capital accord.

KRIS Products
KRIS Public Firm Default Probabilities
KRIS Sovereign Default Probabilities
KRIS Public Firm Implied Credit Ratings
KRIS Public Firm Implied Spreads
KRIS-CDO, English Version
KRIS-CDO, Japanese Version
KRIS Default Correlations
Kamakura Troubled Company Index

For more information regarding KRIS services and pricing, contact us at sales@kamakuraco.com

 
News
07/01/2009
Kamakura Reports Third Consecutive Improvement in Global Credit Quality in June: Troubled Companies Decline to 16.4% of Global Firms
More >
 
06/24/2009
FirstRand selects Kamakura Risk Manager Technology
More >
 
06/16/2009
U.S. Department of the Treasury, Office of the Comptroller of the Currency, Announces Subscription to KRIS Default Probabilities
More >
 
06/09/2009
Malaysia-based Bank Simpanan Nasional Chooses Fiserv to Support Its Risk Strategy and Reporting Requirements
More >
 
06/01/2009
Kamakura Reports Near-Record Improvement in Global Credit Quality in May: Troubled Companies Decline to 18.8% of All Firms
More >
 
More Kamakura News

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