Company Overview

Founded in 1990 by Dr. Donald R. van Deventer, 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.

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. Kamakura serves more than 330 clients ranging in size from $1.5 billion in assets to $9.0 trillion in assets. Client assets or assets under management are now more than USD 38 trillion. Kamakura’s risk management products are currently used in over 47 countries.
 

Kamakura Tenets

• Research-driven – Kamakura’s research efforts are led by Professor Robert A. Jarrow, who has served as a Managing Director of Kamakura since 1995. Kamakura’s processing speed and analytical quality are due to Professor 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.
• Enterprise-wide – Too often rate risk measurement assumes that credit risk and liquidity risk are constant. Concurrently, credit risk measurement assumes that rate risk and liquidity risk are held constant. Kamakura provides integrated credit risk, market risk, asset & liability management, and  performance measurement in a singular software offering.
• 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

• 2022 Kamakura Corporation has been acquired by global AI and analytics leader SAS Learn More
• 2022 Kamakura Principal Data Scientist Sou-Cheng Choi, Ph.D. TOP 50 Data & Analytics OnCon Icon Awards
• 2022 Updated The Valuation of Corporate Coupon Bonds
• 2021 Updated Implied Ratings Model in KRIS
• 2021 Introduced New Future Ratings Model in KRIS
• 2021 Enhancements in KRM v 10.1 included:
  • Dynamic Liquidity Coverage Ratio/Net Stable Funding Ratio (LCR(/NSFR) Tools in KRM 10.1
  • Enhanced Hedging Tools
  • ISDA Standard Initial Margin Model (SIMM) Updates
• 2021 Libor to Secured Overnight Financing Rate (SOFR) and other Libor Replacements
• 2020 KRM v10.1 Released
• 2019 SIMM added to KRM
• 2019 11 million observations on bond prices, spreads and yields added to KRIS
• 2019 User-defined functions added to KRIS Macro Factor Sensitivity
• 2019 Collateralized Loan Obligation capability added to KRIS
• 2019 Kamakura equity factor models with and without default were added to KRIS
• 2019 New version of the KRIS Non-Public Firm Model was launched
• 2018 The Kamakura Troubled Bank Index released
• 2018 Troubled Company Index® trademark granted
• 2018 Kamakura was recognized as a category leader in the Chartis Report, Technology Solutions for Credit Risk 2.0 2018
• 2018 Kamakura Risk Manager version 10  was released to clients
• 2017-2018 Kamakura was selected as a member of the World Finance 100
• 2016 Bond data and credit default swamp volumes and other data added to KRIS
• 2016 Updated 10-Factor Heath Jarrow and Morton Model with stochastic volatility for US Treasuries was release
• 2015 KRIS Public Firm Jarrow-Chava Model version6.0 was released to clients
• 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.