Kamakura Corporation announced Wednesday that Kamakura Risk Manager Version 7.1 has been shipped to clients in 32 countries around the world. Kamakura reported that very significant advances in speed, accuracy and product coverage have resulted from insightful client suggestions and risk management insights of Kamakura Managing Director for research Robert A. Jarrow, who recently advised the U.S. Department of the Treasury on the valuation of warrants issued under the governments Troubled Assets Relief Program. The new version of KRM has already been reported to run in 30-90% less time, depending on the prior KRM version, on client sites due to breakthroughs in both financial theory and computer science.
Perhaps the biggest breakthrough has been to more fully exploit Professor Jarrows insights on reduced form event modeling. Version 7.1 of KRM exploits that fact that, conditional on the values of the macro factors driving default, the actual default/no default of any two counterparties is conditionally independent. This allows distinct and powerful user control with separate dials for macro factor simulation and default simulation on a fully integrated basis. The new version also exploits computer science synergies that allow interest rate index modeling technology to be used to model default more accurately, that allow default technology to be used to model prepayments on a integrated basis, and which default probability technology to be applied to integrated operational risk simulation for the first time.
Version 7.1 of KRM is a huge step forward in integrated risk technology, says Kamakuras President Warren A. Sherman. In combination with our clients advice, the Kamakura research and development team in Honolulu has brought the best of breed simulation technology from astrophysics and physics to apply state of the art risk management and finance to portfolios of unprecedented size. New Version 7.1 offers unparalleled integration between formerly separate disciplines: market risk, interest rate risk (asset and liability management), credit portfolio management, economic capital, funds transfer pricing, Basel I and II capital calculations, and operational risk. Our clients have been very impressed with the increased understanding of risk and return and the huge cost reduction they can achieve by replacing multiple silo-oriented legacy risk systems with the integrated risk capabilities of Kamakura Risk Manager. Moreover, clients have been quick to point out to us that KRM users have navigated the 2007-2009 credit crisis with great skill, while legacy risk technology has been called into question.
D.C.