Kamakura Risk Manager is the first software system in the world that fully integrates credit risk, market risk, asset and liability management, performance measurement, and capital allocation.

Along with the announcement of KRM Version 6.0, Kamakura announced the formal launch of a new web based credit limits module KRM-lm and a new web based reporting portal KRM-rp. The new version 6.0 offers very substantially enhanced capabilities to model and measure compliance with International Accounting Standard 39 on hedging effectiveness and the new Basel Accords from the Basel Committee on Banking Supervision.

"A realistic assessment of credit risk requires accurate modeling of collateral values securing retail and business credit exposures," said Warren Sherman, Kamakura President and Chief Operating Officer. "This new version of KRM offers the unparalleled ability to model home prices, auto prices and commercial real estate values as they are driven up and down by macro-economic forces. This allows a derivation of random loss given default and random exposure at default that are at the heart of the Basel II capital adequacy measurements. For effective hedging of credit exposures or more traditional interest rate risk hedging, the same kind of scenario based hedging effectiveness is essential to meeting the hedging effectiveness tests imposed by International Accounting Standard 39. Our clients in seventeen countries have done a magnificent job of recognizing that KRM is the perfect tool for integrating these calculations. The new web based credit limits modules and reporting modules represent other client-driven initiatives to fully exploit the power of the 14 years of development underlying the Kamakura Risk Manager suite."

Other key enhancements to KRM in version 6.0 include the following expanded features:

Revised Basel risk weights based on the 2004 final version of Basel II

Stochastic forecasts of regulatory capital

Simulated collateral values for random loss given default and recovery rate

Random recovery rates driven by risk factors like macro factors

Loan loss provision simulation by default probability level as well as by ratings level

Multiperiod market value simulations as a standard calculation option

IAS 39 hedge effectiveness

Prospective and retrospective hedging effectiveness tests

Yield curve smoothing using callable bonds

Expanded yield curve smoothing outputs for loan and transaction pricing

Option exercise as a formula of interest rates and macro factors

Prepayment formulas for individual transactions as well as by product type

Index driven drawdown of loan commitments

Australian forward rate agreements

Usage of callable bonds for credit parameter derivations

User-defined exposure at default

Recovery costs specification

Enhanced general ledger reconciliation

Formula-driven new business assumptions

Comprehensive incremental Value at Risk for all VAR methods