Kamakura Risk Manager (KRM)

All major branches of risk management are dependent on the same core analytics techniques.  Kamakura recognized this in 1993 when we launched our company as the world’s first vendor to provide a fully integrated enterprise risk management system.

Kamakura Risk Manager (KRM) completely integrates credit portfolio management, market risk management, asset and liability management, Basel II and other capital allocation technologies, transfer pricing, and performance measurement.

KRM is directly applicable to operational risk, total risk, and accounting and regulatory requirements using the same analytical engine, GUI and reporting.

Kamakura’s risk management vision: completely integrated risk solution based on common assumptions and methodologies

KRM offers:

  • Sophisticated Yield Curve Modeling
  • Flexible Risk Factor Modeling
  • Random Interest Rates Modeling
  • Arbitrage-Free Financial Instrument Valuation
  • Scenario Modeling and Portfolio Stress Testing
  • Delta-Normal Value at Risk Measurement
  • Historical Value at Risk Measurement
  • Monte Carlo Value at Risk Measurement
  • Dynamic Value at Risk and Expected Shortfall


 Kamakura Risk Manager
Kamakura Credit Risk

Kamakura's industry leading credit risk analytics were first released in May 2000. Unlike before, KRM allows users to perform all of the following critical tasks with one piece of software boasting one data base, one graphic user interface and one set of analytical libraries

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Kamakura Net Income Simulation

KRM combines industry thought-leadership about options risk and generation of future interest rates with standard functionality for bread-and-butter financial planning and net income management and monitoring.

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Kamakura Yield Curve Smoothing

The quality of the numbers produced by a risk management system is the single most important measure of the system's ability to help organizations improve shareholder value.

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Kamakura Market Valuation

KRM dates from 1993, when we introduced the world’s first option-adjusted valuation package featuring a full suite of term structure model analytics and fixed income options technology.

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Kamakura Value At Risk

Kamakura believes that the user should have total control over the analytical methods used, whether they are decades-old industry standard calculations or state-of-the-art credit models from Robert Jarrow. When it comes to value at risk, Kamakura Risk Manager includes three popular methodologies

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Kamakura Transfer Pricing

KRM is the first transfer pricing module in the industry to offer full option-adjusted transfer pricing, with arbitrary degrees of consumer “rationality,” all performed on a multi-currency basis. KRM allows for multiple transfer pricing centers and for a separate “ALCO book” and “irrationality book” for that part of the organization which assumes the risk of consumer option exercise.

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 Contact Us

Questions? Contact a Kamakura Representative