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Kamakura: Corporate Credit Conditions At 65th Percentile

Jul. 05, 2013 12:39 PM ETSPY, HYG, JNK
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Kamakura Corporation reported today that its troubled company index was down 0.11% to 7.80%. The all-time low in the index was 4.36%, recorded in December 2010.

The Kamakura troubled company index measures the percentage of more than 32,000 public firms in 37 countries that have annualized 1 month default risk over one percent. The average index value since January, 1990 is 12.00%. 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, 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.

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

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