Seeking Alpha

Donald van Deve...'s  Instablog

Donald van Deventer
  • on Bonds
Send Message
Donald R. van Deventer founded the Kamakura Corporation in April, 1990 and is currently Chairman and Chief Executive Officer. Dr. van Deventer's emphasis at Kamakura Corporation is enterprise wide risk management and modern credit risk technology. The second edition of his newest book, Advanced... More
My company:
Kamakura Corporation
My blog:
Donald R. van Deventer's Kamakura Blog
My book:
Advanced Financial Risk Management, 2nd Edition 2013
  • Kamakura: Corporate Credit Conditions At 90th Percentile 0 comments
    Oct 27, 2013 12:46 PM | about stocks: SPY, JNK, SJNK, HYG, DHF, DHY, COY

    (click to enlarge)

    down8to622

    Kamakura Corporation reported today that its troubled company index was down 0.08% to 6.22%. At this level, the index is at the 90th percentile of corporate credit conditions over the period from 1990 to the present. The all-time low in the index, the 100th percentile, was 4.36%, recorded in December 2010.

    The Kamakura troubled company index measures the percentage of more than 33,000 public firms in 45 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 11.98%. 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, and includes the insights of the worst part of the recent credit crisis. The countries currently covered by the index include Australia, Austria, Bahrain, Belgium, Brazil, Canada, China, Denmark, Egypt, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Kuwait, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Oman, Poland, Portugal, Qatar, Russia, Saudi Arabia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, United Arab Emirates, United Kingdom, the United States, and Vietnam.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Themes: economy, market outlook Stocks: SPY, JNK, SJNK, HYG, DHF, DHY, COY
Back To Donald van Deventer's Instablog HomePage »

Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.

Comments (0)
Track new comments
Be the first to comment
Full index of posts »
Latest Followers

StockTalks

More »
Posts by Themes
Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.