KAMAKURA CORPORATION

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.
ABOUT US

KAMAKURA CORPORATION

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.
ABOUT US

KAMAKURA CORPORATION

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.
ABOUT US

KAMAKURA TROUBLED COMPANY INDEX

The Kamakura Troubled Company Index® measures the percentage of 40,500 public firms in 76 countries that have an annualized one- month default risk of over one percent.

DAILY

Kamakura Default Probabilities versus
Legacy Ratings

Kamakura Daily Bond Performance Attribution

KRIS Daily Default Probability and
Bond Cross-Validation

NEWS & PRESS RELEASES

Kamakura’s Presentation to the 2022 IACPM Spring Conference

May 26, 2022

There is No Free Lunch: How Portfolio Managers Need to Adapt to a Shifting Macroeconomic Paradigm Martin Zorn May 19, 2022 Presentation to the IACPM Spring Conference Madrid, Spain Abstract Over the past 50 years, the markets have witnessed many shocks and changes to...

The Reduced Form Approach to SOFR Swap and Swaption Valuation

May 19, 2022

Robert A. Jarrow[1] and Donald R. van Deventer[2] Presentation  to Risk Americas, May 11, 2022 This Version: May 19, 2022 Abstract We present an annotated version of slides used in a presentation to Risk Americas on the reduced form approach to SOFR swap and swaptions...

Kamakura Weekly Forecast, May 13, 2022: Forward Rates Rise to 4.34%

May 16, 2022

Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Forward rates underlying the U.S. Treasury yield curve jumped again this week, rising to 4.34% in coming years. In this week’s forecast, the focus is on three elements of interest rate...

Kamakura Weekly Forecast, May 6, 2022: Forward Rates Rise Again

May 7, 2022

Inverted Yields, Negative Rates, and U.S. Treasury Probabilities 10 Years Forward Forward rates underlying the U.S. Treasury yield curve jumped again this week after the Fed’s 50 basis point rate hike. In this week’s forecast, the focus is on three elements of...

EVENTS

ESG Risk Management Summit North America
Climate Risk Stress Testing Pre-event Workshop
May 24-25, 2022
New York, NY

NACM 2022 Credit Congress
June 5-8, 2022
Louisville, KY

Q Group Fall Conference
September 18-21, 2022
Phoenix, AZ

ARCHIVES

INDUSTRIES WE SERVE

Kamakura’s products provide asset managers, banks, insurance companies and other financial institutions around the world with a highly advanced, integrated, end-to-end system for managing credit risk, market risk, liquidity risk, and asset-liability management. These products are designed to provide management, boards of directors, shareholders and regulators with an accurate and comprehensive view of the total financial risk of the organization as well as tools to manage that risk.

We serve the world’s most sophisticated banks, insurance companies, asset managers, pension funds, and Central banks and regulators.

BANKING

INSURANCE

ASSET
MANAGEMENT

PROBLEMS WE SOLVE

Asset Liability Management

Credit Portfolio Analysis and Default Probabilities

IFRS 9 and CECL

Market Risk

Credit Risk

Stress Testing

See More

BLOGS

Donald R. van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology.
Martin M. Zorn

Martin Zorn currently serves as Kamakura's president and chief operating officer.  In this role he oversees all day-to-day operations serving Kamakura risk management clients in 37 countries.

Sou-Cheng Choi, Ph.D.

Dr. Sou-Cheng T. Choi joined Kamakura as Chief Data Scientist on February 1st, 2020. Dr. Choi previously served as the Principal Data Scientist and Lead Researcher in Machine Learning for the automotive and life innovation groups at AllState.