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Thomson Reuters Integrates Kamakura's Default Probabilities Into CDS Pricing and Analytics Suite: First to Market

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Thomson Reuters Integrates Kamakura's Default Probabilities Into CDS Pricing and Analytics Suite: First to Market

Thomson Reuters today announced that it has integrated Kamakura's default
probability service into its flagship financial desktop, Reuters 3000Xtra.

    Kamakura's default probabilities are now available via Reuters 3000 Xtra
covering a universe of more than 1,500 public firms and close to 100
sovereign entities. Along with Thomson Reuters CDS spread data, the two
firms have created a Market Premium Ratio, which helps identify the
portion of a traded CDS spread that indicates actual default risk and the
portion of the spread that reflects other factors, such as liquidity.
Thomson Reuters has also built related tools to facilitate relative value
analysis on CDS spreads for purposes of arbitrage, hedging and risk

    Kamakura, a leading provider of risk management information, processing
and software, led the way in developing the world's first fully integrated
enterprise risk management system that analyzes credit risk, market risk,
asset and liability management, transfer pricing, and capital allocation.
The company estimates default probabilities using what is termed as a
'reduced-form' approach. This varies from the commonly used 'structural'
methodology in that a much broader array of explanatory variables are used
as inputs to forecast the probability of default, thus reducing dependence
on the more volatile equity markets.

    Andrew Hausman, Global Head of Fixed Income at Thomson Reuters, said, "The
recent market turmoil clearly demonstrated limitations with some
widely-used approaches to firm valuation. Integrating Kamakura's default
probabilities into Reuters 3000Xtra means users can now base their
decisions on powerful new intelligent information that will give them a
real edge."

    Kamakura president and chief operating officer Warren Sherman added, "The
current credit crisis has shown very clearly that equity holders and debt
holders can have different risk profiles as credit risk increases. A firm
where the senior debt holders are rescued in a bailout can still leave
subordinated debt holders, preferred stock holders and common stock
holders with very large losses. Adding Kamakura default probabilities to
Reuters 3000Xtra helps the full spectrum of liability holders distinguish
between the risk of failure of a firm and the risk of loss for a given
class of liabilities. This is critical to all investors in corporate
common stock, preferred stock and traditional fixed income liabilities."

    This new joint Thomson Reuters-Kamakura tool offers the following

--  The CDS spreads, default probabilities and Market Premium Ratios for
    public and sovereign entities with a default probability equal to or
    greater than 1%.
--  The mean and median of Market Premium Ratios by sector and rating.
--  The ability to chart historical default probabilities, Market Premium
    Ratios and CDS spreads.

Reuters 3000 Xtra provides accurate intraday and end-of-day pricing
on cash and synthetic credit instruments like loans, bonds and CDS, plus
weekly traded volumes, timely news on companies and economies, and
exclusive expert data and analysis from Thomson Reuters LPC, IFR Markets
and Markit all in one place.

    About Thomson Reuters

    Thomson Reuters is the world's leading source of intelligent information
for businesses and professionals. We combine industry expertise with
innovative technology to deliver critical information to leading decision
makers in the financial, legal, tax and accounting, scientific, healthcare
and media markets, powered by the world's most trusted news organization.
With headquarters in New York and major operations in London and Eagan,
Minnesota, Thomson Reuters employs more than 50,000 people operating in
over 100 countries. Thomson Reuters shares are listed on the New York
Stock Exchange (NYSE: TRI); Toronto Stock Exchange (TSX: TRI); London
Stock Exchange (LSE: TRIL); and Nasdaq (NASDAQ: TRIN).

    For more information, go to www.thomsonreuters.com.

    About Kamakura Corporation

    Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider
of risk management information, processing and software. Kamakura has
been a provider of daily default probabilities and default correlations
for listed companies since November 2002. Kamakura announced the KRIS
Sovereign Default Probability Service on May 19, 2008. Kamakura launched
its collateralized debt obligation (CDO) pricing service KRIS-CDO in
April 2007. Kamakura is also the first company in the world to develop
and install a fully integrated enterprise risk management system that
analyzes credit risk, market risk, asset and liability management,
transfer pricing, and capital allocation. The Kamakura Risk Manager
system, now in version 7.0, was first offered commercially in 1993 and
has been continually enhanced since then. Kamakura has served more than
200 clients ranging in size from $3 billion in assets to $1.6 trillion in
assets. Kamakura's risk management products are currently used in 32
countries, including the United States, Canada, Germany, the Netherlands,
France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine,
Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea
and many other countries in Asia.

    Kamakura has world-wide distribution alliances with Fiserv
(www.fiserv.com), Unisys (www.unisys.com), and Zylog Systems
(www.zylog.co.in) making Kamakura products available in almost every major
city around the globe.

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