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

Risk Decomposition

KRM is a very flexible platform that offers detail risk decomposition. Risk factors are represented by series of values or returns and combined in a covariance matrix with the necessary additional yield curve and probability of default models. These last two components are necessary to ensure proper and consistent cash flows valuations in multiple period simulations. It is a general framework that can accommodate a wide range of risk factors used to consistently value a broad range of asset classes.

OUR LOCATION

2222 Kalakaua Avenue
Suite 1400
Honolulu HI 96815

EMAIL US

info@kamakuraco.com

CALL US

+1 808.791.9888

Copyright © Kamakura Corporation, 1990-2023, All Rights Reserved. Terms Of Use |  Privacy Statement