The KRIS default probability service, which was launched in 2002, was the first commercial default probability service to include modern ‘reduced form’ default probabilities in addition to the older Merton approach to default probability estimation.
We share Kamakura’s vision that a multiple models approach to credit analysis offers additional perspective on risk and facilitates stress testing, said Davide Crippa, head of portfolio management and analytics for Swiss Re’s credit solutions department. As such, we believe that KRIS default probabilities will support us in further expanding our participation in selected credit markets.
