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Selected Risk Management Consulting Projects
- Australian Bank. Review of asset and liability management reporting
materials and procedures.
- Large U.S. Credit Insurer. Complete audit of credit risk valuation
and hedging formulas for insurance of credit portfolios using
unpublished research by Kamakura director of research Professor Robert
Jarrow.
- Japanese Leasing Company. Used
Kamakura On-Line Processing Service to
evaluate interest rate risk of complex lease portfolio with unique
prepayment characteristics. Recommended optimal on-going financing
strategy.
- Large regional U.S. savings and loan association. Audit of asset and
liability management package used by large savings and loan subject to
high degree of regulatory scrutiny. Detected a number of very serious
analytical errors in the third party vendor’s package previously unknown
both to Kamakura’s client and to regulators. Errors were acknowledge by
third party vendor.
- U.S. savings and loan association. Review of strategic risk position of
U.S. savings and loan association and recommendations concerning optimal
interest rate risk reduction strategy.
- U.S. international bank. Review credit risk of Asia-Pacific lending
portfolio and demonstrated substantial differences between traditional
value at risk evaluation of portfolio and default adjusted valuation of
the same portfolio. Discovered substantial differences between bank
pricing and observable market pricing.
- U.S. subsidiary of major European bank: Analysis of seasonality and
interest sensitivity of prepayments on recreational vehicle, marine and
manufactured housing loans and construction of optimal hedging strategy.
- Large U.S. regional bank: Valuation, on a full option-adjusted basis, of
non-maturity deposits and full balance sheet of wholly-owned subsidiary
to establish proper tax basis upon change in control.
- U.S. Regional Bank: Risk management audit of ALM process
- Asian Central Bank: Advanced credit risk analytical training for the
bank.
- U.S. Financial Institution: Advanced analytical consulting on valuation
of complex consumer finance assets
- Asian Commercial Bank: Risk audit of derivatives dealing unit of
commercial bank
- Major Japanese Bank: Valuation and hedging of derivatives-related
savings deposit account
- U.S. Regional Bank: Systems integration
- Japanese Bank: Derivatives model audit
- Japanese Bank: Installation of major transfer pricing and business
planning software
- Japanese Bank: Implementation of a bank-wide multi-currency Value at
Risk software system
- U.S. Financial Institution: Design and implementation of a matched
maturity funds transfer pricing system for equipment leasing operations.
- Japanese Corporation: Rating of securitized financial assets
- Japanese Bank: Installation of enterprise-wide asset/liability
management software system
- U.S. Financial Institution: Development of a capital allocation and
performance evaluation model
- U.S. Regional Bank: Review of existing ALM and risk management policies,
procedures and software systems; development of working methodology and
testing parameters for earnings simulation model; implementation of
matched-maturity funds transfer pricing system, and mark-to-market
valuation approach for managing interest rate risk.
- Japanese Bank: Design and implementation of a matched-maturity transfer
pricing system; assistance in selection of third party vendor risk
management software; implementation of Jarrow-van Deventer Approach to
valuing non-maturity deposits.
- Japanese Bank: Review of existing risk management organizational
structure and systems; implementation of Jarrow-van Deventer Approach to
valuing non-maturity deposits.
- Japanese Bank: Derivatives analytics and related training
- U.S. Corporation: Development of yield curve smoothing and options
applications for one of the largest vendors of real-time trading and
dealing systems.
- U.S. Corporation: Development of an option-adjusted valuation module for
one of the largest vendors of asset and liability management systems.
- Japanese Corporation: Specifications development of options and yield
curve smoothing oriented fixed income system for Japan’s largest real
time financial information systems company.
- U.S. Financial Institution: Restructuring of the risk management
processes and systems for the Company’s Asset and Liability Management
Committee; implementation of a matched-maturity funds transfer pricing
system; assistance in selection of third party vendor risk management
software.
- U.S. Corporation: Assisted in acquisition of target company; work
included an option-adjusted mark-to-market calculation of the FDIC
support agreement provided to the target company
- Japanese Bank: Analysis of oil options and futures and development of a
real-time index arbitrage system.
- Japanese Bank: Comparative study of term structure models and analysis
of yield curve smoothing.
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