CCAR and DFAST Compliance and Reporting
Kamakura offers the only fully integrated and scalable stress testing solution that is provided as a service with comprehensive support for data management, report computation and model validation.
Kamakura offers a comprehensive suite of managed services and will co-ordinate and execute supervisory stress tests, from data capture and model calibration to scenario generation and interpretation of outputs supplementing the work of internal bank personnel.
Kamakura’s expertise in loss modelling and stress testing leverages three longstanding Kamakura business lines:
- Enterprise Risk Management software
- Outsourcing of risk management services
- Default model research and development
Kamakura default models predate the regulatory stress test scenarios by more than a decade and have been continuously tested, re-tested, and refined over that time.
Kamakura offers public and private firms models which can produce loss estimates for:
- Commercial Real Estate
- Commercial & Industrial Loans
- Mortgage Loans
- Consumer Lending
- Credit Cards
Kamakura’s Stress Testing Service is scalable to easily accommodate changes to the regulations, balance sheet changes, changes to the risk factor sets, and indeed go well above the standard regulatory requirements outlined. The regulatory risk factors are incorporated into the models and can be changed easily with just a button-click.
Each risk factor can be stressed individually as well as collectively, and the system adjusts automatically to accommodate the revised volatilities and correlations that may apply to the risk factor set as a whole.
CCAR / DFAST Reporting
The Kamakura CCAR/DFAST stress testing solution offers comprehensive regulatory reporting based on the templates provided, and these are automatically populated based on the stress tests that are run. These can be directly presented to the regulators. Kamakura Corporation provides a framework that easily and automatically creates and submits FR Y-14, FR Y-16 and DFAST reports, and the means to provide a totally transparent audit trail of the entire process as part of one integrated system, insuring regulatory compliance.
In addition to compliant reports, the system clearly and quickly provides comprehensive audit trails of every item in your FR Y-14, FR Y-16 and DFAST submission for regulators, auditors, board members and other stakeholders. Drill-down and drill-across functionality allows you to easily zoom in on key points for a greater level of detail.
About Kamakura Corporation
Founded in 1990, 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 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. Kamakura has served more than 185 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura’s risk management products are currently used in 27 countries, at leading financial institutions in the United States, Canada, Europe and Asia.
Kamakura’s research effort is led by Professor Robert Jarrow, who was named Financial Engineer of the Year in 1997 by the International Association of Financial Engineers. Professor Jarrow and Kamakura founder Dr. Donald R. van Deventer were both named to the 50 member RISK Hall of Fame in December 2002. Kamakura management has published more than 100 publications on credit risk, market risk, and asset and liability management.
2222 Kalakaua Avenue, 14th Floor
Honolulu, Hawaii 96815
United States of America