Kamakura Corporation announced Tuesday that it released proprietary research linking default probabilities and credit spreads to the company’s Kamakura Risk Information Services default probability and correlation service clients.
In January, Kamakura expanded its KRIS program to include the addition of implied credit default swap rates for maturities from 1 year to 10 years for 16,000 companies.
The credit spread research was penned by a team of five Kamakura executives and contains a complete description of all of the explanatory variables driving credit spreads, along with the statistical significance of each contributor.