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Kamakura Corporation History

Founded in 1990 by Dr. Donald R. van Deventer, Kamakura Corporation is the world’s leading provider of risk management information, risk management software and risk management consulting. Kamakura’s executive team represents a broad and diverse cross-section of in-depth experience in economics, financial management, information technology, credit modeling, risk assessment, accounting, business administration, higher education, banking and regulatory oversight.

Tenets of Kamakura Risk Management

Research-driven

Kamakura’s research efforts are led by Dr. Robert A. Jarrow, Managing Director of Research.

Kamakura’s processing speed and analytical quality are due to Dr. Jarrow’s innovative research. Clients deserve the integrity of academic review to ensure the accuracy of all risk management calculations, and for this reason Kamakura boasts the leading publishing record in the risk management software industry.

Transparency-based

Kamakura provides clients with full access to our modeling details and the underlying mathematics. We don’t believe in black boxes and neither do financial institution regulators.

Unparalleled Accuracy

Kamakura clients often integrate a small number of risk modules at the beginning, with additional functionality introduced over time. This approach allows for acquisition of the specific risk functionality while providing a growth path to a more integrated risk solution. It also reduces the initial acquisition cost of a risk solution and can reduce the overall expense of migrating to an integrated risk solution.

Kamakura’s clients have never failed to successfully operate the Kamakura Risk Manager system on their site with their data. This flawless record of successful installation is unique in our industry. Kamakura’s clients achieve this processing volume and successful implementation record because Kamakura software modules share the same following attributes:

  • Fully integrated system
  • Graphic user interface+
  • Enterprise-wide data base design
  • Financial analytics
  • Fully accessible input and output files

Enterprise-wide

Kamakura provides integrated credit risk, market risk, asset & liability management, and performance measurement in a singular software offering. This integration is desirable from a cost and efficiency standpoint and crucial for true and effective enterprise wide risk management. Kamakura Corporation is the first software company in the world to provide a single, fully integrated software package that performs critical functions previously requiring multiple vendors.

Solution-oriented
Kamakura clients can choose from a broad selection of tools and features. Kamakura offers reduced form and structural credit models, default probability estimation from current market prices and from historical default data bases, twelve different yield curve smoothing methods, an unlimited number of term structure models, three stochastic models and much more.
Milestones

2020 Updated The Valuation of Corporate Coupon Bonds
2020 KRM v10.1 Released
2019 CLO Detail added to KRIS
2019 User-defined functions added to KRIS Macro Factor Sensitivity
2019 Bond Analytics added to KRIS
2019 SIMM added to KRM
2019 Kamakura equity factor models with and without default
2019 New version of KRIS Non-Public Firm Model
2018 Troubled Bank Index released
2018 Troubled Company Index® trademark granted
2018 Recognized as a category leader in the Chartis Report, Technology Solutions for Credit Risk 2.0 2018
2018 KRM 10 Released
2017-2018 Selected as a member of World Finance 100
2016 Bond data and CDS data added to KRIS
2016 Updated Multi-Factor Heath Jarrow and Morton Model For US Treasuries 1962-2015
2015 KRIS 6.0 Released
2012 Kamakura Senior Research Fellow Jens Hilscher awarded Outstanding Paper in Corporate Finance & Outstanding Paper in Financial Institutions by Eastern Finance Association
2011 Jens Hilscher receives Harry M. Markowitz Award from Journal of Investment Management
2010 Jens Hilscher wins Deutsche Bank Prize in Financial Economics from Review of Finance 2nd Best Paper
2009 Robert Jarrow awarded “life time achievement award” by RISK Magazine
2008 First vendor to offer sovereign default probabilities
2005 Stochastic modeling of collateral and LGD.
2003 Completed first Basel II client implementation.
2002 Launched KRIS default probability service for 20,000 listed firms
2001 First vendor to offer integrated credit & market risk.
2000 First implementation of a reduced form credit risk model.
1998 Stochastic multi-period net income simulation added to KRM.
1997 Kamakura relocated to Honolulu and qualified for State R&D subsidy.
1996 First closed-form non-maturity deposit valuation model implemented in KRM.
1994 KRM: First stochastic interest rate term structure model-based valuation software.
1993 First credit model with random interest rates published.