Kamakura Corporation
  • INDUSTRIES SERVED
    • Banking
    • Insurance
    • Asset Management
    • Corporate Treasury
  • SOLUTIONS
      • Kamakura Risk Manager (KRM)
            • Credit Risk
            • Net Income Simulation
            • Yield Curve Smoothing
            • Market Valuation
            • Value-At-Risk
            • Transfer Pricing

      • Kamakura Risk Information Services (KRIS)
            • Interest Rate and Yield Curve Data
            • Default Probabilities
            • CLO and Bond Analytics
            • Credit Portfolio Analysis
            • Troubled Company Index
            • KRIS Country Coverage
            • KRIS Macro-Factor Data Base
            • The Corporate Bond Investor for Individual Investors

  • RESEARCH
    • Research Library
  • BLOGS
    • Donald R. Van Deventer, Ph.D.
    • Martin M. Zorn
    • Sou-Cheng Choi, Ph.D.
  • COMPANY
      • Executive Profiles
      • Company Facts & Milestones
      • Careers
      • Leadership Team
      • Office Locations
      • Press Releases
  • CONTACT US
Select Page
  • INDUSTRIES SERVED
    • Banking
    • Insurance
    • Asset Management
    • Corporate Treasury
  • SOLUTIONS
      • Kamakura Risk Manager (KRM)
            • Credit Risk
            • Net Income Simulation
            • Yield Curve Smoothing
            • Market Valuation
            • Value-At-Risk
            • Transfer Pricing

      • Kamakura Risk Information Services (KRIS)
            • Interest Rate and Yield Curve Data
            • Default Probabilities
            • CLO and Bond Analytics
            • Credit Portfolio Analysis
            • Troubled Company Index
            • KRIS Country Coverage
            • KRIS Macro-Factor Data Base
            • The Corporate Bond Investor for Individual Investors

  • RESEARCH
    • Research Library
  • BLOGS
    • Donald R. Van Deventer, Ph.D.
    • Martin M. Zorn
    • Sou-Cheng Choi, Ph.D.
  • COMPANY
      • Executive Profiles
      • Company Facts & Milestones
      • Careers
      • Leadership Team
      • Office Locations
      • Press Releases
  • CONTACT US
  • Banking
    • Asset Liability Management (ALM) and Basel Interest Rate Risk in the Banking Book (IRRBB)
    • Counterparty Risk
    • Market and Credit Risk Simulation
    • Basel Credit Risk
    • Credit Valuation Adjustment (CVA)
    • Basel Market Risk
    • ISDA SIMM
    • Basel Liquidity Coverage Ratio (LCR)/Net Stable Funding Ratio (NSFR)
    • IFRS Expected Loss
    • Funds Transfer Pricing (FTP)
    • Risk Weighted Assets (RWA)
  • Insurance
    • Asset Liability Management (ALM)/Multi-Period Forecasting
    • Risk-Based Capital
    • Portfolio and Transaction Level Analytics
    • Macro-Economic Variable Stress Testing
    • Market and Credit Risk Value at Risk (VaR)
    • Comprehensive Instrument/Balance Sheet Coverage
    • Statutory/GAAP/Tax Accounting Treatments
    • CECL/IFRS9
  • Asset Management
    • Tracking Error
    • Performance Attribution
    • Risk Decomposition
    • Risk Versus Return
    • Scenario Analysis
    • Equity and Fixed Income Portfolios
    • Banking on Bonds
  • Corporate Treasury

Performance Attribution

KRM stores valuations and simulation results at the individual position or transaction level. Aggregation hierarchies can be defined across portfolios, asset classes, country, currencies and any user-defined dimension of interest . KRM reports on valuations for the portfolio (long positions), the benchmark (short positions) and active (net) portfolio. The values are computed for each level of aggregation and meet the requirements of portfolio managers, analysts and risk managers.

OUR LOCATION

2222 Kalakaua Avenue
Suite 1400
Honolulu HI 96815

EMAIL US

info@kamakuraco.com

CALL US

+1 808.791.9888

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