Kamakura Risk Manager Version 7.0 Captures Exposure to Home Price Risk: Financial News

Kamakura Risk Manager Version 7.0 Captures Exposure to Home Price Risk
Wednesday August 13, 2008 10:00 am ET

NEW YORK, NY--(MARKET WIRE)--Aug 13, 2008 -- Honolulu-based Kamakura Corporation announced today that version 7.0 of its enterprise-wide risk management system Kamakura Risk Manager (KRM) has been released to clients world-wide. The new release includes KRM-Risk Portal version 2.1, the KRM web-based reporting system for credit risk, market risk, asset and liability management, and Basel II reporting. KRM version 7.0 has been in production to assess home price risk on very large portfolios in North America since last August. Kamakura Risk Manager version 7.0 enhancements reflect substantial new code related to Basel II standard reporting, credit-related simulations, expanded ALM new business and rollover capabilities, and hedge effectiveness testing under International Accounting Standard 39 and FAS 133.

"Kamakura Risk Manager version 7.0 offers our KRM users around the world a substantial improvement in speed and comprehensive risk analysis," commented Warren Sherman, Kamakura President and Chief Operating Officer. "Even on a single chip machine, KRM 7.0 runs 33% faster than version 6.x. With a fully multi-threaded set of servers, the speed reduction is even more impressive. At the same time, KRM 7.0 offers a much more comprehensive set of market risk, credit risk, ALM, Basel II and hedge accounting capabilities but it has 19% fewer lines of code than version 6.x."

"The first lines of code in Kamakura Risk Manager were written more than 18 years ago," said Dr. Donald R. van Deventer, Kamakura Chairman and founder. "This new version represents the very best of 200 man years of effort by Kamakura's development group and Kamakura Risk Information Services team members. Most importantly, the Kamakura users group continues to guide our development path very skillfully. Senior management needs a complete understanding of their firm's exposure to home price risk, oil price risk, interest rate risk, and foreign exchange risk. We are very proud of the performance of Kamakura clients in this credit crisis relative to the clients of legacy vendors of silo risk systems."

Selected new features in Kamakura Risk Manager version 7.0 include the following:

 
--  Expanded reporting of counterparty attributes for the Basel II
    standardized approach
--  KRM 7.0 reports random default rates used for each counterparty in
    each scenario and time period used in the simulation
--  KRM 7.0 allows a user-defined proportional shift in default
    probabilities across the board
--  KRM 7.0 allows a user-defined lag in the collection of recovery
    amounts on defaulted instruments
--  KRM 7.0 allows a term structure of macro factors and the age of the
    instrument to affect the default probability in future time periods
--  KRM version 7.0 also includes several updates to enable expeditious
    implementation for the Basel Standardized (STD) approach, as outlined in
    Capital Requirements Directive (CRD) and the Prudential Sourcebook for
    banks, building societies and investment firms (BIPRU)
--  KRM version 7.0 also includes a substantial increase in output
    relating to hedging and hedge effectiveness under IAS39 and FAS 133
    standards.  These enhancements are focused on impairment and hedge
    effectiveness measurement and reporting.
--  KRM-rp version 2.1 has been broadened to adhere to the common
    reporting standards (COREP) specified for Basel II
--  KRM-rp now includes local regulatory Basel II reporting standards,
    such as those required by the Hong Kong Monetary Authority.
--  Expanded interest rate index functionality for modeling securities
    where the interest rate is a function of the age of the loan or security
--  Addition of zero coupon amortizing loan and security type
--  Addition of synthetic collateralized debt obligations.  Cash flow CDOs
    have been in KRM since 2003
--  Calculation of common Black-Scholes risk measures delta, gamma, theta
    and vega even when Black-Scholes is not the valuation method for marking to
    market
--  Expanded output of monte carlo simulation results to the KRM output
    data tables
--  Substantial enhancements to the KRM security administrator for even
    stronger systems security
--  Expanded stress testing capability based on user-defined accounting
    periods on an exact day-count basis
--  Expanded simulation of loan losses based on Emerging Issues Task Force
    (EITF) 99 and other methods
--  Expanded capabilities for balancing simulated assets and liabilities
--  Increased alternatives for reinvestment of cash flow generated in
    simulations, including the reinvestment of cash flow by credit quality
    level
--  Additional of two new historical value at risk methodologies.  The
    first employs the historical absolute changes in securities prices and the
    second is a monte carlo sampling from historical prices themselves.  KRM
    now has a total of seven different VAR methodologies available.
--  KRM 7.0 also reports marginal value at risk for each transaction as
    standard output and expands reporting on "tail risk" on a credit-adjusted
    basis
--  Expansion of KRM security features to allow KRM to run in secured mode
    on virtual machine-based servers
--  Support for MS SQL 2000, MS SQL 2005, and Oracle 10G R2 relational
    data base management systems on 64-bit servers
--  Substantial improvements in KRM speed due to in-memory simulation of
    new business and cash flow reinvestments, use of multi-threading for data
    base insertions, and bulk data base insertions for all major KRM
    calculations
--  The KRM Security Administrator KRM-sa has been substantially modified
    to now allow users to create customized upgrade scripts from any earlier
    version of KRM to 7.0.

About Kamakura Corporation

Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities and default correlations for listed companies since November, 2002. Kamakura announced the KRIS Sovereign Default Probability Service on May 19, 2008. Kamakura launched its collateralized debt obligation (CDO) pricing service KRIS-CDO in April 2007. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, transfer pricing, and capital allocation. Kamakura has served more than 185 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 27 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv/IPS-Sendero (www.fiservips-sendero.com), Unisys (www.unisys.com), and Zylog Systems (www.zylog.co.in) making Kamakura products available in almost every major city around the globe.