Basel-II News

Kamakura's Credit Risk, ALM and Market Risk Management Software Released

(Oct 10, 2006)--Kamakura Corporation released Version 6.2 of its integrated credit risk, asset and liability management and market risk software package Kamakura Risk Manager ("KRM"). Version 6.2 offers dramatic speed enhancements with new multithreading capabilities for multiperiod simulation of credit risk, interest rate risk, market risk, and both regulatory and economic capital calculations.

KRM, first released for commercial use in 1993, comes with a fully integrated suite of web-based applications including the extensive web-based reporting module KRM-rp, Kamakura's interactive credit limits module KRM-lm, and its loan pricing and capital allocation module KRM-lp. KRM is also extensively linked with Kamakura's KRIS default probability and correlation service KRIS.

"Version 6.2 of KRM is a dramatic expansion of Kamakura's capabilities, thanks to clear and intelligent guidance by our clients from Warsaw to New York to Melbourne to Beijing," said Warren Sherman, Kamakura President and Chief Operating Officer. "KRM Version 6.2 features extremely detailed implementation of both the basic and advanced internal ratings based alternatives under the Basel II Capital Accords."

Kamakura takes a completely transparent approach to risk modeling, so all mathematical formulas and analytical techniques are visible to clients and their regulators, as required by the Basel II capital accords. These formulas and analytical techniques are embedded in the on-line help files for Kamakura Risk Manager. In addition, Kamakura delivers completely independent calculations of the most complex risk analytics in KRM for an independent verification that KRM calculations are correct. This extensive test suite, which is unique in the industry, dramatically reduces the need for clients to do due diligence on the accuracy of KRM's risk analytics.

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