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Kamakura Releases Basel II Default Probability Certification Tests for KRIS Version 4.0

Accuracy of Public Firm Default Models Reaches New Highs

Kamakura Corporation announced today that it has released credit model performance tests to clients for version 4.0 of the Company's Kamakura Risk Information Services (KRIS) default probabilities. KRIS Version 4.0, which includes three different credit models, will be officially launched in the second quarter of this year. Kamakura reported that the accuracy of its reduced form and hybrid Jarrow-Merton default probability models have reached new records in terms of both in-sample and out-of-sample tests required for certification under the New Capital Accords published by the Basel Committee on Banking Supervision. Kamakura is the only vendor offering a multiple model default probability service and the only vendor with a track record of full disclosure of quantitative performance tests to clients, as Basel II requires.

"The Kamakura reduced form and hybrid default probability models have reached unprecedented accuracy in version 4.0," said Warren Sherman, Kamakura President and Chief Operating Officer. "The Kamakura Jarrow-Chava model captured 41.70% of total defaults in the top 1% of KRIS default probabilities. The hybrid model captured 40.45% of total defaults in the top 1% of KRIS default probabilities. This accuracy level is far in excess of that possible under modern Merton model technology, which is why many vendors are forced to cap their default probabilities at a low level. Kamakura clients believe that these kinds of ceilings on default probability levels obscure model performance, and we agree with their assessment. Both the Jarrow-Chava and the hybrid model, with ROC accuracy ratios in excess of 95% on the public company universe, outperform modern Merton model technology by more than 10%. The Jarrow-Chava model, for example, explains more than 85% of the five-year variation in defaults in out of sample tests."

Kamakura is offering free trials of its KRIS default probability and correlation service to qualified institutions. For more information on Kamakura's free trial offer please contact Kamakura at info@kamakuraco.com. More information can also be found on the Kamakura Corporation web site www.kamakuraco.com and in "Advanced Financial Risk Management" (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler www.amazon.com)">. "Advanced Financial Risk Management" was recently named "best finance book of 2004" on www.riskbook.com.

About Kamakura Corporation

Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities for listed companies since November, 2002. Kamakura launched its private firm modeling product in January 2004. Kamakura is also the first company in the world to develop and install a fully integrated credit risk, market risk, asset and liability management, and transfer pricing system. Kamakura has clients ranging in size from $3 billion in assets to $1 trillion in assets. Kamakura's risk management software is currently used in the United States, Germany, Canada, the United Kingdom, the Middle East, Australia, China, Japan, Korea and many other countries in Asia.

Kamakura's research effort is led by Professor Robert Jarrow, who was named Financial Engineer of the Year in 1997 by the International Association of Financial Engineers. Professor Jarrow and Dr. van Deventer were both named to the 50-member RISK Hall of Fame in December 2002. Kamakura management has published twenty-one books and more than 100 publications on credit risk, market risk, and asset and liability management. Kamakura has worldwide distribution alliances with IPS-Sendero www.ips-sendero.com)"> and Unisys www.unisys.com)">, making Kamakura products available in almost every major city around the globe.

For more information contact:

Kamakura Corporation
2800 Woodlawn Drive, Suite 138
Honolulu, Hawaii 96822
Telephone: 1-808-539-3830
Facsimile: 1-808-539-3748
Information: info@kamakuraco.com
Web site: www.kamakuraco.com

Distributed by Market Wire