17 December 2017
visit www.aciworldwide.com

Kamakura upgrades risk management software

28 October 2004  |  611 views  |  0 Source: Kamakura Corporation

Kamakura Corporation reported version 5.1 of its industry-leading enterprise-wide risk management software package Kamakura Risk Manager has been shipped to all clients. Version 5.1 of KRM, which has already been installed at much of the Kamakura client base, further strengthens the integrated analysis of credit risk, market risk, interest rate risk, and performance measurement with the KRM system. Version 5.1 contains a number of important innovations in the modeling of correlated default that are essential to accurate pricing, valuation, and hedging of portfolios of risky assets, collateralized debt obligations, and equity portfolios where the impact of default on tracking error has largely been overlooked in the fund management industry.

"Kamakura has worked extensively with clients in the pension fund, insurance, banking and securities businesses in designing this new release," said Donald R. van Deventer, Chairman and chief executive officer of Kamakura Corporation. "The result is a very powerful ability for daily risk analysis and asset selection on very large portfolios of financial instruments that result in practical hedging and risk-adjusted "plus alpha" performance. KRM now offers a wide range of multiperiod credit-adjusted valuation and simulation that combines the perspectives of each of these wings of the financial services business. Version 5.1 adds the ability to randomly sample from historical default experience, common in fund management, with forward looking macro-factor driven default probabilities and copula-driven default correlations more commonly used in the banking and hedge fund businesses. KRM version 5.1 adds 'extended' reduced form model default probabilities that fit observable yield curves exactly. KRM 5.1 also features automated parsing of credit spreads into liquidity and credit loss components and a sophisticated rich/cheap analysis on a large scale production basis."

KRM version 5.1 includes an extensive list of new derivative instruments in addition to the wide array of instruments already incorporated in KRM. The derivative instruments added to the system include barrier options, prepayment-linked interest rate swaps, equity-linked bonds and swaps, equity linked notes with caps and floors, equity-linked notes with barrier options, and listed futures with an embedded American delivery option. The new KRM version also adds automated credit model performance testing as required by the "Basel II" New Capital Accord from the Basel Committee on Banking Supervision.

Comments: (0)

Comment on this story (membership required)

Related company news


Related blogs

Create a blog about this story (membership required)
visit www.ebaday.comvisit www.response.ncr.comvisit www.thomsonreuters.info

Top topics

Most viewed Most shared
satelliteRipple completes XRP Lockup
10619 views comments | 3 tweets | 2 linkedin
PSD2: Laying the regulatory foundation for a new age in paymentsPSD2: Laying the regulatory foundation for...
10233 views comments | 18 tweets | 36 linkedin
Banks tap Ethereum smart contracts for MiFID II complianceBanks tap Ethereum smart contracts for MiF...
7508 views comments | 10 tweets | 10 linkedin
Banks and fintech startups join forces on blockchain-based supply chain pilotBanks and fintech startups join forces on...
7314 views comments | 19 tweets | 22 linkedin
hands typing furiouslyReshaping Customer Engagement & Da...
6730 views 0 | 4 tweets | 2 linkedin

Featured job

London, UK (or flexible)

Find your next job