Many risk management experts rely on valuation and stress testing in addition to value at risk techniques. Thus accurate market values are even more critical than they are in a VAR context. Kamakura’s valuation technology is unique in the following ways:

• Seven yield curve smoothing methods including an unpublished maximum smoothness credit spread technology
• A wide variety of fixed income data input formats 
• Interest rate probability distributions for any rate level and time horizon 
• Automated forward rate curve generation 
• Fixed and floating rate instrument valuation  
• All common principal amortization conventions  
• Arbitrary interest and principal payment schedules  
• Multiple day count conventions  
• Payment in advance or arrears  
• Customizable holiday tables  
• All common derivatives (see Kamakura software overview for partial list)  
• CMO valuation via a link to the Intex libraries  
• Complex mathematical functions for floating rate indices, including lags and moving averages, minimum of two rates, maximum of two rates, etc.  
• Five term structure models  
• Fixed length and variable length lattice technology for options valuation  
• User control over number of steps in lattices  
• Multi-factor credit model capability  
• Common Monte Carlo simulation engine for valuation, VAR and net income simulation  
• Three methods of prepayment analysis (transactions cost approach, prepayment table approach and prepayment function approach)  
• Arbitrary definition of risk factors  
• Stress testing with respect to any risk factor  
• Transaction-level processing  
• Proprietary published valuation formula for non-maturity deposit valuation  
• Built in linear and non-linear regression  
• Reduced form credit risk and default models by Robert Jarrow  
• Exact default adjusted valuation