Kamakura upgrades enterprise risk management platform


Kamakura Corporation reported today it has released Version 5.0 of its enterprise risk management system Kamakura Risk Manager to clients in nine countries. The new version incorporates some very significant enhancements, including an extensive set of Basel II reports, a new security administrator module, and a wide variety of credit-related features including valuation for the popular first to default swaps.

"Our clients view the consultative papers from the Basel Committee on Banking Supervision on credit risk and interest rate risk as inseparably linked," said Warren Sherman, Kamakura's President and Chief Operating Officer. "KRM's ability to analyze credit risk, market risk, asset and liability management, and performance measurement in a fully integrated way has taken on even greater importance in the Basel II era. This new version adds to the depth of Kamakura capabilities in each of these areas."

Each Kamakura client implementing version 5.0 of KRM receives a template of standard and advanced Basel II reports that are populated from Kamakura Risk Manager output tables. The KRM-sa Security Administrator module was developed in response to the daily mission-critical applications for KRM at major institutions around the world, many of which demand the highest levels of data security and auditing capability.

Kamakura's multiple models approach to default probability estimation continues to expand in breadth. Users of KRM version 5.0 can use default probabilities from Kamakura's KRIS default probability service or they can estimate default probabilities themselves for retail, small business, sovereign or corporate counterparties using KRM version 5.0.

For small counterparties and public companies with equity outstanding, KRM version 5.0 employs logistic regression to estimate default probability models. For larger entities, KRM can estimate default probabilities from digital default swaps, ordinary credit default swaps, and from bond prices. The new version also values first to default swaps with monte carlo methods using either the reduced form credit models of Professor Robert Jarrow, Kamakura's director of research, or the Merton/copula driven approach.

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