All models of credit risk are firmly rooted in the concepts of efficient markets. Kamakura believes that market prices of credit derivatives, debt instruments and equities all provide useful and related information on the credit quality of the underlying institution, but moving rationally in different ways because of distinct rights and privileges of the security holder.
Kamakura’s credit risk solution is built solidly on the same analytical foundation underlying its other modules, with six yield curve smoothing methods and five different term structure models for valuation, pricing, and hedging of a wide range of equity securities, fixed income securities, foreign exchange contracts and an unmatched list of derivatives and exotics.
Kamakura’s credit risk solution is designed and constructed to solve a number of practical issues confronting both loan portfolio managers, managers of counter-party credit risk, and traders in credit derivatives.
Read more about Kamakura Risk Manager Credit Risk solution.