Market Risk Solutions 

On a completely scalable platform, Kamakura’s market risk solution provides total integration of credit risk, market risk, asset and liability management, and performance measurement.

Kamakura’s market valuation solution dates from 1993, when we introduced the world’s first option-adjusted valuation package featuring a full suite of term structure model analytics and fixed income options technology.

The quality of the numbers produced by a risk management system is the single most important measure of the system’s ability to help organizations improve shareholder value. Kamakura boasts a 100% installation success rate and has never failed to produce high quality risk management results for Kamakura clients using client data on the client site.


Kamakura advantage for Market

  • Provides the most accurate valuation methodology for traders, risk managers, treasurers, and managements.
  • Provides multiple approaches which the user can select for their business requirement
    • Multiple smoothing methods
    • Multiple TSM methods
    • Multiple valuation methods
    • Multiple VAR methods
  • Powerful stress testing methodology which the user can add unlimited risk factors to impact the cash flows and valuation of products .
  • Comprehensive product coverage including trading book, banking book and off-balance sheet items(derivatives, commitments etc.)
  • Provides a flexible index modelling which can model complex and structured pricing conditions
  • Provides all different sensitivity measures, PV01, CS01, Duration, Delta, Vega, Gamma
  • integrate market risk and credit risk seamlessly by enabling PD simulation and default events
  • Covers a variety of risks management from daily internal risk reporting to regulatory reporting
  • Provides the reconciliation templates at transaction cash flow level for all products
  • Provides the integrated risk management solution and one-time process from market valuation, market risk measure(VAR and ES), sensitivity measure, counterparty risk, CVA and SIMM ,
  • Fully supports to Basel 4 market risk compliance measures:
    • Market Risk RWA: FRTB-SA, FRTB-IMA
    • Counterparty Credit Risk: SA-CCR, CEM-EAD, IMM-EAD, BA-CVA, SA-CVA