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Swiss Re licenses Kamakura's KRIS default probability service
Thursday, July 12, 2007
Kamakura Corporation announced today that reinsurance firm Swiss Re has licensed Kamakura's KRIS default probability service. According to Kamakura the service, which was launched in 2002, was the first to include modern "reduced form" default probabilities in addition to the older Merton approach to default probability estimation.
Kamakura says it is offering free trials of its KRIS default probability, default correlation, and CDO pricing service to qualified institutions.
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CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
