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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 offers fully integrated credit risk, market risk, asset & liability management, and performance measurement in a single software solution.

Flexible by design, 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, seven different yield curve smoothing methods, six different term structure models, three stochastic models and much more.

Kamakura Risk Manager (KRM), first sold commercially in 1993, is a fully integrated enterprise risk management system that combines asset and liability management, credit portfolio management, market risk management, Basel II and other capital allocation technologies, transfer pricing, and performance measurement.

Kamakura Risk Information Services (KRIS) provides extensive risk information on credit risk and interest rates. Credit risk information in KRIS includes default probabilities, default correlations, implied spreads and implied ratings for a wide range of counterparties.

Kamakura Online Processing Services (KOPS) recognize that many financial institutions, governments and corporations require risk management results but cannot currently invest the time or money in an external risk management software system.

Kamakura Risk Consulting Services (KRCS) represent a range of quantitative finance needs relating to asset valuation, derivatives pricing and risk measurement. In providing these services, Kamakura combines extensive industry knowledge, quantitative finance research, and practical experience in financial companies and other business organizations.

 Solutions by Risk
Basel II Solutions

Basel II compliance is probably the single greatest challenge - and opportunity - for banks during the next few years.  The challenge of Basel II come from the significant changes to bank policies, procedures and methods it implies and from the need for technological solutions that do not exist or are inadequately developed today.  Kamakura Corporation offers a range of Basel II solutions to help banks realize the many managerial and financial benefits of Basel II requirements.

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Credit Risk Solutions

Kamakura's industry leading credit risk analytics were first released in production form in May, 2000. Kamakura’s risk management software clients now for the first time can perform key risk management tasks in one piece of software with one data base, one graphic user interface and one set of analytical libraries.

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Market Risk Solutions

Many risk management experts rely on valuation and stress testing in addition to value-at-risk (VAR) techniques. Thus accurate market values delivered via Kamakura Risk Manager are even more critical than they are in a VAR context. Among an array of unique attributes, Kamakura’s valuation technology includes seven yield curve smoothing methods and a wide variety of fixed income data input formats.

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Operational Risk Solutions

When it comes to value-at-risk, Kamakura Risk Manager includes three popular methodologies: Variance-Covariance Value-at-Risk, Historical Value at Risk and Credit-adjusted and Option-adjusted VAR.

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ALM, Liquidity & Interest Rate Risk Solutions

Kamakura’s solution is grounded in solid financial theory and allows users to implement leading-edge best practices solutions with a straightforward, user-friendly tool. Kamakura’s solution simplifies option-based risk management’s inherent complexity, while always considering an integrated risk management approach.

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Fund Management Risk Solutions

Absent proof of effectiveness, hedging institutions will be unable to align gains or losses with the declaration of interest income on the hedged assets. Kamakura Risk Manager can help your organization meet the standards of IAS39 by accomplishing a number of critical tasks.

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KRIS Default Probabilities

A Basel-II compliant solution, Kamakura’s Risk Information Service (KRIS) is a multiple models service so that all models can be tested on a common platform, subject to identical tests on identical data. Kamakura’s full menu of models demonstrates that our only interest is creating shareholder value for clients by delivering a high-value default probability service that meets the Basel requirements.

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Portfolio Modeling Solutions

Kamakura’s industry leading research coupled with its established expertise in credit technology solutions provide clients with the data, tools and insights necessary to manage the risks inherent in their portfolios and identify market opportunities.

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Transfer Pricing Solutions

Kamakura's transfer pricing clients range in size from $6 billion in assets to $500 billion in assets. The transfer pricing field is changing rapidly and the most exciting developments include the following topics: Credit-adjusted transfer pricing, internal credit derivatives and option-adjusted transfer pricing.

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