Kamakura Market Valuation

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  • Seven yield curve smoothing methods including an unpublished maximum smoothness credit spread technology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
 Contact Us

Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com


Americas, Canada
James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895

Asia, Pacific
Clement Ooi
Managing Director, ASPAC
Phone: +65.6818.6336

Austrailia, New Zealand
Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

Europe, Middle East, Africa
Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

    
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