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Kamakura Reports First Improvement in Corporate Credit Quality in Six MonthsKamakura Troubled Company Index Declines 2.47% to 7.26% in October (November 04, 2011)
NEW YORK, NY -- (Marketwire) -- 11/04/11 -- Kamakura Corporation reported that the Kamakura index of troubled public companies showed considerable improvement in October, dropping 247 basis points to 7.26% after deteriorating in the five previous months. The index reached an intra-month low of 6.68%. At the 7.26% level, corporate credit quality is at the 75th percentile (with 100 being best all time credit quality) over the period from 1990 to the present. In December, 2010, by contrast, the index was at the 99th percentile of credit quality. Tokyo Electric Power Company continues to be the firm with the world's highest one-month default risk among rated companies, with a default probability of 52.88%.
In October, the percentage of the global corporate universe with default probabilities between 1% and 5% was 5.81%, a decrease of 172 basis points. The percentage of companies with default probabilities between 5% and 10% was 0.94%, a decline of 45 basis points. The percentage of the universe with default probabilities between 10 and 20% was 0.39% of the universe, a decrease of 18 basis points, while the percentage of companies with default probabilities over 20% was 0.11% of the total universe in October, a decrease of 13 basis points.
Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Friday, "The improvement in the Kamakura troubled company index was driven both by surging stock prices and the fact that the calendar fourth quarter experiences fewer corporate defaults than other periods of the year. Of the riskiest 14 firms with legacy credit ratings, ranked by one month default risk, six firms have legacy ratings of A or higher. All of these six firms were non-U.S. financial institutions, raising some doubt about the timeliness of ratings in the overseas branches of legacy rating agencies. Six of the 14 firms are European banks potentially affected by the European sovereign debt crisis. Only 3 U.S. firms were included in the 14 riskiest firms with legacy ratings: General Maritime, Trailer Bridge, and Eastman Kodak."
The Kamakura troubled company index measures the percentage of more than 30,000 public firms in 37 countries that have annualized 1 month default risk over one percent. Kamakura's index had reached a recent peak of 25.57% in November 2008. The average index value since January 1990 is 12.37%. Since November, 2010, the Kamakura index has used the annualized one month default probability produced by the KRIS version 5.0 Jarrow-Chava reduced form default probability model, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The version 5.0 model was estimated over the period from 1990 to 2008, so it includes the insights of the worst part of the recent credit crisis. The countries currently covered by the index include Australia, Austria, Belgium, Brazil, Canada, China, Denmark, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Poland, Russia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, United Kingdom, and the United States.
To follow the troubled company index and other risk commentary by Kamakura on a daily basis, please follow Kamakura CEO Dr. Donald van Deventer (www.twitter.com/dvandeventer), Kamakura Chief Administrative Officer Martin Zorn (www.twitter.com/riskmgrhi), and Kamakura's official twitter account (www.twitter.com/KamakuraCo).
About Kamakura Corporation
Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has taken Credit Technology Innovation Awards from Credit Magazine each year since 2008. In 2010, Kamakura was the only vendor to win 2 innovation awards, including one with distribution partner Thomson Reuters. Kamakura, along with a distributor of KRM, was ranked number one in asset and liability management analysis and liquidity risk analysis in the RISK Technology Rankings in 2009. Kamakura Risk Manager, first sold commercially in 1993 and now in version 7.3, was also named in the top five for market risk assessment, Basel II capital calculations, and for "risk dashboard." Kamakura was also ranked in the RISK Technology Rankings 2008 as one of the world's top 3 risk information providers for its KRIS default probability service. The KRIS public firm default service was launched in 2002, the KRIS sovereign default service, the world's first, was launched in 2008, and the KRIS non-public firm default service was offered beginning in 2011. KRIS default probabilities are displayed for 4000 corporates and sovereigns via the Reuters 3000 Xtra service and the Thomson Reuters Eikon service. Kamakura has served more than 220 clients ranging in size from $1.5 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in more than 30 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, South America, Australia, Japan, China, Korea and many other countries in Asia.
Kamakura has world-wide distribution alliances with SCSK Corporation (http://www.scsk.jp/index_en.html), Unisys (www.unisys.com), and Zylog Systems (www.zsl.com), making Kamakura products available in almost every major city around the globe.
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Chief Administrative Officer
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2222 Kalakaua Avenue, Suite 1400, Honolulu, Hawaii 96815
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