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Kamakura upgrades credit risk management tool

24 May 2002  |  2604 views  |  0 Kamakura upgrades credit risk management tool

Kamakura Corporation has released version 4.0 of its integrated risk management solution KRM.

The upgraded solution offers new credit scoring capabilities that enable managers to estimate default probabilities for individual retail and small business clients with any user-defined set of explanatory factors including market and economic variables such as interest rates.

Other new features of the solution include:
* expansion of default probability estimation techniques so that default probabilities can be estimated from credit derivative prices, debt prices, and a combination of equity prices and accounting data;
* fully integrated credit derivatives valuation and pricing; and
* the addition of default simulation for individual counterparties to KRM’s asset and liability management and net income simulation capabilities enabling balance sheet managers to see the impact of credit risk over multiple periods on both an accounting and cash flow basis.

Donald van Deventer, Kamakura’s chief executive officer, says: “Our clients are demanding a complete understanding of the risks they face on a fully integrated basis. They no longer accept separate solutions for credit risk, market risk, asset and liability management and performance measurement."

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