Kamakura Corporation is a global financial software company headquartered in

Honolulu, Hawaii Honolulu (; ) is the capital and largest city of the U.S. state of Hawaii, which is in the Pacific Ocean. It is an unincorporated county seat of the consolidated City and County of Honolulu, situated along the southeast coast of the island o ...

. It specializes in software and data for risk management for banking, insurance and investment businesses. The company was founded in 1990 by its current CEO and Chairman Dr. Donald R. van Deventer, and as of 2019 Kamakura had served more than 330 clients in 47 countries.Veteran Wachovia Banker Martin Zorn Named Chief Administrative Officer of Kamakura Corporation
26 January 2011

Cornell Cornell University is a private statutory land-grant research university based in Ithaca, New York. It is a member of the Ivy League. Founded in 1865 by Ezra Cornell and Andrew Dickson White, Cornell was founded with the intention to teach an ...

professor

Robert A. Jarrow __NOTOC__ Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for ...

, co-creator of the

Heath–Jarrow–Morton framework The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular (as opposed to simple forward rates). When the volatility and drift of the in ...

for pricing

interest rate derivative In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of diff ...

s and the reduced form Jarrow–Turnbull credit risk models employed for pricing

credit derivative In finance, a credit derivative refers to any one of "various instruments and techniques designed to separate and then transfer the ''credit risk''"The Economist ''Passing on the risks'' 2 November 1996 or the risk of an event of default of a cor ...

s, serve as the company's Director of Research. In June 2022, Kamakura was acquired by

SAS Institute SAS Institute (or SAS, pronounced "sass") is an American multinational developer of analytics software based in Cary, North Carolina. SAS develops and markets a suite of analytics software ( also called SAS), which helps access, manage, analy ...

Products and services

The company has two primary products. Kamakura Risk Manager (KRM), an

enterprise risk management Enterprise risk management (ERM) in business includes the methods and processes used by organizations to manage risks and seize opportunities related to the achievement of their objectives. ERM provides a framework for risk management, which typic ...

system integrating credit risk management including IFRS 9 and CECL, market risk management,

asset liability management Asset and liability management (often abbreviated ALM) is the practice of managing financial risks that arise due to mismatches between the assets and liabilities as part of an investment strategy in financial accounting. ALM sits between risk ...

Basel II Basel II is the second of the Basel Accords, which are recommendations on banking laws and regulations issued by the Basel Committee on Banking Supervision. It is now extended and partially superseded by Basel III. The Basel II Accord was publis ...

and

Basel III Basel III is the third Basel Accord, a framework that sets international standards for bank capital adequacy, stress testing, and liquidity requirements. Augmenting and superseding parts of the Basel II standards, it was developed in response to ...

and other capital allocation technologies,

transfer pricing In taxation and accounting, transfer pricing refers to the rules and methods for pricing transactions within and between enterprises under common ownership or control. Because of the potential for cross-border controlled transactions to distort ...

, and

performance measurement Performance measurement is the process of collecting, analyzing and/or reporting information regarding the performance of an individual, group, organization, system or component. Definitions of performance measurement tend to be predicated upon an ...

. Kamakura Risk Information Services (KRIS) is a risk portal providing data for quantitative

credit risk A credit risk is risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost principal and interest, disruption to cash flows, and increased ...

measures such as default probabilities, bond spreads, implied spreads and implied

rating A rating is an evaluation or assessment of something, in terms of quality, quantity, or some combination of both. Rating or ratings may also refer to: Business and economics * Credit rating, estimating the credit worthiness of an individual, c ...

s for corporate, sovereign and bank counterparties. It also allows users to stress portfolios through Macro Factor Sensitivities and Portfolio Management tools. The Kamakura Troubled Company index measures the percentage of 39,000 public firms in 76 countries that have an annualized one-month default risk of over one percent. In January 2018, the company released its Troubled Bank Index.

History

Kamakura Corporation was founded in Tokyo in 1990. Kamakura Risk Manager (KRM) was first sold commercially in 1993. It was the first credit model published with random interest rates and the first stochastic interest rate term structure model-based valuation software. In 1995, they hired Robert A. Jarrow as their Director of Research. The first closed-form non-maturity deposit valuation model was implemented in KRM in 1996.

TD Bank Toronto-Dominion Bank (french: links=no, Banque Toronto-Dominion), doing business as TD Bank Group (french: links=no, Groupe Banque TD), is a Canadian multinational banking and financial services corporation headquartered in Toronto, Ontario. ...

started using KRM during that year. Kamakura relocated to Honolulu and qualified for the State research and development subsidy. Jarrow-Lando-Turnbull published

Markov model In probability theory, a Markov model is a stochastic model used to Mathematical model, model pseudo-randomly changing systems. It is assumed that future states depend only on the current state, not on the events that occurred before it (that is, i ...

for the term structure of credit began to spread in 1997. The stochastic multi-period net income simulation was added to KRM in 1998. The first implementation of a reduced form credit risk model was made in 2000. Kamakura was the first vendor to offer integrated credit and market risk in their risk management products. In 2002, they launched the KRIS default probability service for 20,000 listed firms. They completed their first

client implementation in 2003. Insurer

MetLife MetLife, Inc. is the holding corporation for the Metropolitan Life Insurance Company (MLIC), better known as MetLife, and its affiliates. MetLife is among the largest global providers of insurance, annuities, and employee benefit programs, wi ...

and pension fund

Ontario Teachers' Pension Plan The Ontario Teachers' Pension Plan Board (french: Régime de retraite des enseignantes et des enseignants de l'Ontario) is an independent organization responsible for administering defined-benefit pensions for school teachers of the Canadian pr ...

became clients during that year. Pair-wise default correlations were added to KRIS in 2004. Implied Ratings and Implied CDS Spreads were added to KRIS in 2006. KRIS- CDO launched in 2007. In 2008, Kamakura was named one of the top three worldwide financial information vendors in a ''Risk'' Technology 2008 survey. They launched a Basel II-compliant default probability service for sovereigns in 2008 as well. They were named the world's number 1 asset and liability management vendor and number 1 liquidity risk vendor in a ''

Risk In simple terms, risk is the possibility of something bad happening. Risk involves uncertainty about the effects/implications of an activity with respect to something that humans value (such as health, well-being, wealth, property or the environme ...

'' Technology 2009 survey. In 2009 the U.S.

Office of the Comptroller of the Currency The Office of the Comptroller of the Currency (OCC) is an independent bureau within the United States Department of the Treasury that was established by the National Currency Act of 1863 and serves to charter, regulate, and supervise all nation ...

signed for KRIS public firm default models, KRIS

sovereign default A sovereign default is the failure or refusal of the government of a sovereign state to pay back its debt in full when due. Cessation of due payments (or receivables) may either be accompanied by that government's formal declaration that it wi ...

models and KRIS credit portfolio manager. In 2017, Hong Leong Finance signed with Kamakura Corporation's risk management software. Kamakura was named for the second consecutive year to the World Finance 100 in 2018, and released version 10 of the Kamakura Risk Manager in March of that year.

Awards

* 2018 Kamakura Corporation was recognized as a Category Leader in Credit by Chartis Research in its report "Technology Solutions for Credit Risk 2.0 2018" * World Finance 100 2017, 2016, 2012 *Credit Technology Innovation Awards 2010 winner: Thomson Reuters (Kamakura default probability service) *Credit Technology Innovation Awards 2010 winner: Fiserv (Kamakura Risk Manager)

Publications

*Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, 2nd Edition, Wiley & Sons, 2013, *Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, 1st Edition, Wiley & Sons, 2005, *Asset and Liability Management: A Synthesis of New Methodologies, RISK Books, 1998, *Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management, 1997, IRWIN Professional Publishing, *Risk Management in Banking: The Theory & Application of Asset & Liability Management, 1993, McGraw-Hill,

References

External links

Kamakura Corporation Official siteKamakura Risk Information Services (KRIS)
{{Authority control Software companies based in Hawaii Companies based in Honolulu Software companies established in 1990 Financial software companies Banking software companies 1990 establishments in Hawaii American brands Defunct software companies of the United States