Thursday, November 20, 2008
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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 20,000 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 Corporate Default Probabilities
KRIS Sovereign Default Probabilities
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
11/03/2008
Kamakura Reports Sharpest One Month Decline in Corporate Credit Quality Since 1990: Global Credit Quality at Worst Level Since January 2003
More >
 
10/09/2008
Kamakura Expands Transaction-Level Views of Liquidity Risk, Credit Risk, and Market Risk; Enhanced KRM Version 7.0 Transfer Pricing Capabilities
More >
 
10/01/2008
Kamakura Reports Global Corporate Credit Quality Reaches Worst Levels Since May 2003; WaMu Default Probabilities Reach 58% Before FDIC Takeover
More >
 
09/24/2008
Kamakura Risk Information Services; Sovereign Default Probabilities Now Updated Daily
More >
 
09/02/2008
Kamakura Reports Another Sharp Decline in Global Corporate Credit Quality in August
More >
 
More Kamakura News

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