Value at Risk, VAR, market risk, algorithmics, Kamakura, Kamakura Corporation, KRM, Kamakura Risk
Overview
Kamakura Market Valuation (KRM-mv)
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Seven yield curve smoothing methods including an unpublished maximum smoothness credit spread technology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
