24:
215:
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
239:
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
224:
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.
275:
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.
260:
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
368:
124:
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.
252:
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-
722:
406:
311:
Advanced
Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, 1st Edition, Wiley & Sons, 2005,
301:
Advanced
Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, 2nd Edition, Wiley & Sons, 2013,
285:
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"
422:
331:
Financial Risk
Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management, 1997, IRWIN Professional Publishing,
697:
288:
World
Finance 100 2017, 2016, 2012 *Credit Technology Innovation Awards 2010 winner: Thomson Reuters (Kamakura default probability service)
687:
454:
236:
for the term structure of credit began to spread in 1997. The stochastic multi-period net income simulation was added to KRM in 1998.
268:
506:
225:
Jarrow as their Director of Research. The first closed-form non-maturity deposit valuation model was implemented in KRM in 1996.
712:
702:
573:
548:
316:
306:
232:
Kamakura relocated to Honolulu and qualified for the State research and development subsidy. Jarrow-Lando-Turnbull published
133:
692:
438:
381:
707:
598:
326:
648:
623:
566:
Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management
541:
Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management
483:
346:
336:
249:
341:
Risk Management in Banking: The Theory & Application of Asset & Liability Management, 1993, McGraw-Hill,
256:
launched in 2007. In 2008, Kamakura was named one of the top three worldwide financial information vendors in a
253:
172:
616:
Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management
121:. It specializes in software and data for risk management for banking, insurance and investment businesses.
522:
180:
164:
382:"SAS acquires Kamakura to propel risk technology innovation as financial sector braces for volatility"
141:
717:
137:
196:
369:
Veteran Wachovia Banker Martin Zorn Named Chief Administrative Officer of Kamakura Corporation
204:
199:. Kamakura Risk Information Services (KRIS) is a risk portal providing data for quantitative
641:
Risk Management in Banking: The Theory & Application of Asset & Liability Management
208:
8:
216:
risk of over one percent. In January 2018, the company released its Troubled Bank Index.
125:
470:
644:
619:
594:
569:
544:
342:
332:
322:
312:
302:
272:
145:
321:
Asset and Liability Management: A Synthesis of New Methodologies, RISK Books, 1998,
192:
129:
87:
526:
442:
263:
168:
291:
Credit Technology Innovation Awards 2010 winner: Fiserv (Kamakura Risk Manager)
23:
681:
212:
152:
74:
233:
423:
Ontario Teachers’ Pension Plan licenses credit risk software from Kamakura
200:
176:
163:
The company has two primary products. Kamakura Risk Manager (KRM), an
188:
241:
184:
118:
70:
42:
245:
226:
591:
Asset and Liability Management: A Synthesis of New Methodologies
672:
106:
667:
407:
Toronto-Dominion Tests New Asset/Liability Analysis System
564:
van Deventer, Donald; Imai, Kenji; Mesler, Mark (2005).
539:
van Deventer, Donald; Imai, Kenji; Mesler, Mark (2013).
117:
is a global financial software company headquartered in
455:
Kamakura launches sovereign default probability service
563:
538:
507:
Thomson Reuters: Kamakura default probability service
638:
589:Jarrow, Robert; van Deventer, Donald, eds. (1998).
471:
http://www.risk.net/digital_assets/530/techrank.pdf
618:(1 ed.). USA: IRWIN Professional Publishing.
588:
271:signed for KRIS public firm default models, KRIS
679:
613:
723:Defunct software companies of the United States
148:, serve as the company's Director of Research.
639:Uyemura, Dennis; van Deventer, Donald (1993).
568:(1 ed.). Singapore: Wiley & Sons.
543:(2 ed.). Singapore: Wiley & Sons.
191:and other capital allocation technologies,
614:van Deventer, Donald; Imai, Kenji (1997).
22:
673:Kamakura Risk Information Services (KRIS)
269:Office of the Comptroller of the Currency
267:Technology 2009 survey. In 2009 the U.S.
484:"Hong Leong Finance signs with Kamakura"
481:
439:Kamakura expands CDS information service
158:
144:credit risk models employed for pricing
374:
364:
362:
244:client implementation in 2003. Insurer
151:In June 2022, Kamakura was acquired by
698:Software companies established in 1990
680:
643:. USA: IRWIN Professional Publishing.
229:started using KRM during that year.
359:
13:
688:Software companies based in Hawaii
668:Kamakura Corporation Official site
14:
734:
661:
632:
607:
582:
557:
532:
516:
295:
500:
475:
464:
448:
432:
416:
400:
388:. SAS Institute. June 27, 2022
250:Ontario Teachers' Pension Plan
1:
713:1990 establishments in Hawaii
523:Fiserv: Kamakura Risk Manager
352:
134:Heath–Jarrow–Morton framework
703:Financial software companies
34:Closely held private company
7:
693:Companies based in Honolulu
54:; 34 years ago
10:
739:
708:Banking software companies
219:
181:asset liability management
167:system integrating credit
165:enterprise risk management
279:
138:interest rate derivatives
102:
98:Dr Donald R. van Deventer
94:
80:
66:
48:
38:
30:
21:
207:, bond spreads, implied
482:Finextra (2017-11-14).
197:performance measurement
593:. London: Risk Books.
177:market risk management
90:(Director of Research)
205:default probabilities
171:including IFRS 9 and
159:Products and services
140:and the reduced form
132:, co-creator of the
115:Kamakura Corporation
17:Kamakura Corporation
429:, 04 September 2003
18:
529:, 01 November 2010
513:, 01 November 2010
146:credit derivatives
107:www.kamakuraco.com
16:
575:978-0-470-82126-8
550:978-1-118-27854-3
488:Finextra Research
445:, 27 January 2006
371:, 26 January 2011
317:978-0-470-82126-8
307:978-1-118-27854-3
273:sovereign default
248:and pension fund
203:measures such as
112:
111:
730:
655:
654:
636:
630:
629:
611:
605:
604:
586:
580:
579:
561:
555:
554:
536:
530:
520:
514:
504:
498:
497:
495:
494:
479:
473:
468:
462:
452:
446:
436:
430:
420:
414:
404:
398:
397:
395:
393:
378:
372:
366:
193:transfer pricing
130:Robert A. Jarrow
119:Honolulu, Hawaii
88:Robert A. Jarrow
62:
60:
55:
26:
19:
15:
738:
737:
733:
732:
731:
729:
728:
727:
718:American brands
678:
677:
664:
659:
658:
651:
637:
633:
626:
612:
608:
601:
587:
583:
576:
562:
558:
551:
537:
533:
521:
517:
505:
501:
492:
490:
480:
476:
469:
465:
453:
449:
437:
433:
421:
417:
413:, 08 April 1996
405:
401:
391:
389:
380:
379:
375:
367:
360:
355:
298:
282:
222:
169:risk management
161:
142:Jarrow–Turnbull
83:
58:
56:
53:
12:
11:
5:
736:
726:
725:
720:
715:
710:
705:
700:
695:
690:
676:
675:
670:
663:
662:External links
660:
657:
656:
649:
631:
624:
606:
600:1-899-332-76-6
599:
581:
574:
556:
549:
531:
515:
499:
474:
463:
447:
431:
415:
399:
373:
357:
356:
354:
351:
350:
349:
339:
329:
327:1-899-332-76-6
319:
309:
297:
294:
293:
292:
289:
286:
281:
278:
221:
218:
160:
157:
110:
109:
104:
100:
99:
96:
92:
91:
84:
81:
78:
77:
68:
64:
63:
50:
46:
45:
40:
36:
35:
32:
28:
27:
9:
6:
4:
3:
2:
735:
724:
721:
719:
716:
714:
711:
709:
706:
704:
701:
699:
696:
694:
691:
689:
686:
685:
683:
674:
671:
669:
666:
665:
652:
650:1-55738-353-7
646:
642:
635:
627:
625:0-7863-0964-4
621:
617:
610:
602:
596:
592:
585:
577:
571:
567:
560:
552:
546:
542:
535:
528:
527:RISK Magazine
524:
519:
512:
508:
503:
489:
485:
478:
472:
467:
461:, 20 May 2008
460:
456:
451:
444:
443:RISK Magazine
440:
435:
428:
424:
419:
412:
408:
403:
387:
386:Press release
383:
377:
370:
365:
363:
358:
348:
347:1-55738-353-7
344:
340:
338:
337:0-7863-0964-4
334:
330:
328:
324:
320:
318:
314:
310:
308:
304:
300:
299:
290:
287:
284:
283:
277:
274:
270:
266:
265:
259:
255:
251:
247:
243:
237:
235:
230:
228:
217:
214:
210:
206:
202:
198:
194:
190:
186:
182:
178:
174:
170:
166:
156:
154:
153:SAS Institute
149:
147:
143:
139:
135:
131:
127:
122:
120:
116:
108:
105:
101:
97:
93:
89:
85:
79:
76:
75:United States
72:
69:
65:
51:
47:
44:
41:
37:
33:
29:
25:
20:
640:
634:
615:
609:
590:
584:
565:
559:
540:
534:
518:
510:
502:
491:. Retrieved
487:
477:
466:
458:
450:
434:
426:
418:
410:
402:
390:. Retrieved
385:
376:
296:Publications
262:
257:
238:
234:Markov model
231:
223:
211:and implied
162:
150:
136:for pricing
123:
114:
113:
67:Headquarters
31:Company type
201:credit risk
682:Categories
493:2017-11-16
353:References
128:professor
82:Key people
189:Basel III
242:Basel II
185:Basel II
71:Honolulu
43:Software
39:Industry
392:July 1,
246:MetLife
227:TD Bank
220:History
213:ratings
209:spreads
126:Cornell
103:Website
57: (
49:Founded
647:
622:
597:
572:
547:
345:
335:
325:
315:
305:
280:Awards
195:, and
86:Prof.
95:Owner
645:ISBN
620:ISBN
595:ISBN
570:ISBN
545:ISBN
511:Risk
459:Risk
427:Risk
411:Risk
394:2022
343:ISBN
333:ISBN
323:ISBN
313:ISBN
303:ISBN
264:Risk
258:Risk
187:and
173:CECL
59:1990
52:1990
254:CDO
684::
525:,
509:,
486:.
457:,
441:,
425:,
409:,
384:.
361:^
183:,
179:,
175:,
155:.
73:,
653:.
628:.
603:.
578:.
553:.
496:.
396:.
61:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
