Source: Kamakura Corporation
Kamakura Corporation reported today that AAA/Aaa - rated Ambac Financial Group, Inc. (NYSE:ABK) has subscribed to Kamakura Risk Information Services default probability and default correlation service.
Ambac will use Kamakura default probabilities and default correlations to measure correlated credit risk in both its current flow and portfolio of collateralized debt obligations.
"Kamakura has distinguished itself in credit risk modeling with the quality of its research and its full disclosure to clients of its credit risk model performance," said Dr. Robert Selvaggio of Ambac. "We believe that the KRIS default probability service is unique world-wide in its ability to produce default correlations for any pair of companies with default probabilities on the KRIS default probability service. Without this pair wise correlation, credit risk cannot be modeled and measured accurately."
"Kamakura is honored to be working with Ambac in credit risk management," commented Warren Sherman, Kamakura President and Chief Operating Officer. "The Company's triple-A rating from the major rating agencies is testimony to Ambac's reputation in credit risk management. Both firms will benefit from active collaboration in credit risk modeling going forward."
Separately, Kamakura Corporation announced today that newly formed credit protection provider Athilon has signed a contract for the Kamakura Risk Information Services default probability and correlation service. Athilon is rated Aaa by Moody's Investors Service and AAA by Standard & Poor's.
"Many market participants are using credit technology that is more than three decades old," said Marc Rakotomalala, Executive Vice President and Chief Risk Officer of Athilon. "In our business we believe that maximum risk adjusted shareholder value creation comes from optimal capital allocation, which is only possible through state of the art credit modeling with multiple models, complete transparency, and comprehensive model test results. Kamakura in our mind stands alone in each of these dimensions."
"Athilon is a leader in bringing modern credit technology to the credit enhanced financial products market," said Warren Sherman, Kamakura President and Chief Operating Officer. "We are honored to assist Athilon in what we see as a great opportunity for its shareholders. We believe progressive firms like Athilon will earn superior risk-adjusted returns from the insights provided by credit models with common macro-factors driving correlated defaults."