Kamakura Facts & Milestones

Company Overview

Founded in 1990 by Dr. Donald R. van Deventer, Kamakura Corporation is the world’s leading provider of risk management solutions – software, information and consulting – because successfully managing financial risk while meeting regulatory requirements demands industry-leading research, sound analytics, fully integrated applications, flawless execution and quantifiable results.

Kamakura’s executive team represents a broad and diverse cross-section of in-depth experience in economics, financial management, information technology, credit modeling, risk assessment, accounting, business administration, higher education, banking and regulatory oversight. Kamakura serves more than 200 clients ranging in size from $1.5 billion in assets to $1.6 trillion in assets. Kamakura’s risk management products are currently used in over 34 countries.

Kamakura Tenets

  • Research-driven - Kamakura's research efforts are led by Professor Robert A. Jarrow, who has served as a Managing Director of Kamakura since 1995. Kamakura's processing speed and analytical quality are due to Professor Jarrow’s innovative research. Clients deserve the integrity of academic review to ensure the accuracy of all risk management calculations, and for this reason Kamakura boasts the leading publishing record in the risk management software industry. 
  • Transparency-based - Kamakura provides clients with full access to our modeling details and the underlying mathematics. We don't believe in black boxes and neither do financial institution regulators. 
  • Unparalleled Accuracy- Kamakura clients often integrate a small number of risk modules at the beginning, with additional functionality introduced over time. This approach allows for acquisition of the specific risk functionality while providing a growth path to a more integrated risk solution. It also reduces the initial acquisition cost of a risk solution and can reduce the overall expense of migrating to an integrated risk solution.
  • Enterprise-wide - Too often rate risk measurement assumes that credit risk and liquidity risk are constant. Concurrently, credit risk measurement assumes that rate risk and liquidity risk are held constant. Kamakura provides integrated credit risk, market risk, asset & liability management, and  performance measurement in a singular software offering. 
  • Solution-oriented - Kamakura clients can choose from a broad selection of tools and features. Kamakura offers reduced form and structural credit models, default probability estimation from current market prices and from historical default data bases, twelve different yield curve smoothing methods, an unlimited number of term structure models, three stochastic models and much more.


Milestones

  • 2016 Updated Multi-Factor Heath Jarrow and Morton Model For US Treasuries 1962-2015
  • 2015 KRIS 6.0 Released
  • 2012 Kamakura Senior Research Fellow Jens Hilscher awarded Outstanding Paper in Corporate Finance & Outstanding Paper in Financial Institutions by Eastern Finance Association
  • 2011 Jens Hilscher receives Harry M. Markowitz Award from Journal of Investment Management
  • 2010 Jens Hilscher wins Deutsche Bank Prize in Financial Economics from Review of Finance 2nd Best Paper
  • 2009 Robert Jarrow awarded “life time achievement award” by RISK Magazine
  • 2008 First vendor to offer sovereign default probabilities
  • 2005 Stochastic modeling of collateral and LGD.
  • 2003 Completed first Basel II client implementation.
  • 2002 Launched KRIS default probability service for 20,000 listed firms
  • 2001 First vendor to offer integrated credit & market risk.
  • 2000 First implementation of a reduced form credit risk model.
  • 1998 Stochastic multi-period net income simulation added to KRM.
  • 1997 Kamakura relocated to Honolulu and qualified for State R&D subsidy.
  • 1996 First closed-form non-maturity deposit valuation model implemented in KRM.
  • 1994 KRM: First stochastic interest rate term structure model-based valuation software.
  • 1993 First credit model with random interest rates published.