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Arab National Bank signs with IPS-Sendero for Kamakura credit risk platform

22 November 2005  |  3222 views  |  0 Graph - risk management

Arab National Bank has contracted with Fiserv subsidiary IPS-Sendero for the supply of the Kamakura Risk Management (KRM) platform, which it will implement to support its market and treasury portfolio credit risk operations.

IPS says the bank will use the system to measure credit risk for current flow and portfolio of collateralised debt obligations, as well as market risk and credit-adjusted value-at-risk (VaR).

Yasser Shareef, head of market risk for Arab National Bank, comments: "We believe that KRM is unique in its ability to produce default correlations for any pair of companies with default probabilities on the system. Without this pair-wise correlation, credit risk cannot be accurately modeled and measured."

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