Kamakura Update Brings Cutting-Edge Tools to Risk Management
Latest Version of Kamakura Risk Manager Released
NEW YORK, December 24, 2018: Kamakura has just added to its platform a unique software tool that greatly simplifies management of OTC derivative risk and automatically integrates OTC data from the trading through the risk system, helping portfolio managers make better-informed decisions about this important asset class.
The tool, part of the latest release of Kamakura Risk Manager (KRM v. 10.0.5), evaluates all non-cleared OTC derivative risk, providing full compliance with ISDA SIMM ™ 2.1 (Standard Initial Margin Model). It complements KRM’s FRTB (Fundamental Review of the Trading Book) module, which provides both a standardized approach and an internal models approach for regulatory reporting. A previous update provides calculations for expected lifetime loss (CECL in the US and IFRS9 internationally).
The new tools will improve compliance management as regulators continue to move to a standardized framework for risk evaluation, rather than relying on bespoke internal models. Similar to the BIS market risk capital regulations, the FRTB standardized approach allows an institution to consolidate and coordinate the implementation of new risk systems.
The OTC feature is one of several updates in Kamakura’s new release, which continues to build on the firm’s industry-leading risk management expertise. Other important additions include:
- An improved interpolation method for discount factors, leading to more precise results
- Better Exposure at Default (EAD) risk weights for netted exposures
- Enhanced asset class coverage for risk weights
- Additional scenario-generation capabilities for IRRBB shocks, including the ability to create new scenarios
- consistent with interest rate tenors used in other applications
- Faster forecast generation
These enhancements add even more capabilities to Kamakura Risk Manager’s holistic risk engine, which saves time and avoids frustration by eliminating the need for multiple systems. A portfolio-wide database also ensures that assumptions are consistent across the risk spectrum.
Kamakura Risk Manager is a fully integrated risk management solution that allows users to analyze credit risk, market risk, interest rate risk, liquidity risk, counterparty risk, and economic and regulatory capital adequacy on a fully integrated basis.
With the current release the additional tools for managing compliance with ISDA SIMM and FTRB further enhances the capabilities. KRM contains modules for calculating Exposure at Default (EAD) using both a standardized approach and an internal model method; full product coverage of derivatives valuation, including calculating accounting, and regulatory Credit Valuation Adjustments (CVA) to meet any bank’s business requirements; and a full standard reporting package for compliance in over 47 jurisdictions.
About Kamakura Corporation
Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing, and software. Kamakura was recognized as a category leader in the Chartis Report, Technology Solutions for Credit Risk 2.0 2018. Kamakura was named to the World Finance 100 by the editor and readers of World Finance magazine in 2017, 2016 and 2012. In 2010, Kamakura was the only vendor to win two Credit Magazine innovation awards. Kamakura Risk Manager, first sold commercially in 1993 and now in version 10.0.3, is the first enterprise risk management system for users focused on credit risk including IFRS 9 and CECL, asset and liability management, IRRBB, market risk, FRTB, CVA/DVA, SIMM, stress testing, liquidity risk, counterparty credit risk, and capital allocation from a single software solution. The KRIS public firm default service was launched in 2002. The KRIS sovereign default service, the world’s first, was launched in 2008, and the KRIS non-public firm default service was offered beginning in 2011. Kamakura added its U.S. Bank default probability service in 2014.
Kamakura has served more than 330 clients with assets ranging in size from $1.5 billion to $3.0 trillion. Its risk management products are currently used in 47 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, Ukraine, South Africa, Australia, China, Hong Kong, India, Indonesia, Japan, Korea, Malaysia, Singapore, Sri Lanka, Taiwan, Thailand, Vietnam, and many other countries in Asia, Europe and the Middle East.
To follow risk commentary by Kamakura on a daily basis, please follow:
Kamakura CEO Dr. Donald van Deventer (www.twitter.com/dvandeventer)
Kamakura President Martin Zorn (www.twitter.com/riskmgrhi) and
Kamakura’s official twitter account (www.twitter.com/KamakuraCo).
For more information, please contact:
2222 Kalakaua Avenue, Suite 1400, Honolulu, Hawaii 96815
Web site: www.kamakuraco.com