HONOLULU, January 7, 2004: Kamakura Corporation reported today that it has completed development work on version 5.2 of its industry leading Kamakura Risk Manager enterprise wide risk management software package. The new version, launched less than three months after the previous release, adds powerful interest rate risk management and Basel II-related credit risk management analytics to the integrated interest rate risk, market risk, and credit risk analytics of KRM.
"Asset and liability management (ALM) and accounting standards IAS 39/FAS 133 require risk analysis to be done on a multi-period basis with both a market value and a financial accounting focus," said Warren Sherman, Kamakura President and Chief Operating Officer. "Version 5.2 of KRM allows future business, future profit margins, and new business from reinvested cash flows to be driven by a rich array of user-specified mathematical formulas based on random interest rate movements, including if/then, maximum, minimum, and moving average functions linked to multiple points on randomly moving yield curves.
KRM 5.2 also allows multiperiod stochastic simulation of future Basel II capital ratios, stress-testing of Basel II capital ratios with macro-factor driven default probabilities, allocation of capital for operational risk, and advanced treatment of guarantees' and collaterals' impact on loss given default."
KRM version 5.2 incorporates the ability to vary exposure at default by product and, in some cases, to have an exposure at default equal to more than 100% of the related loan commitment. This is typical of overdrafts which often exceed limits at the time of default. Version 5.2 also includes an automated feed to and from client general ledgers of inputs and outputs that are involved in risk adjusted return on capital and capital allocation. Stochastic simulations of future capital ratios, both Basel II and user-defined, are a function of both current assets and liabilities and future new business in this new version. Confidence intervals for these capital ratios are supplied by version 5.2. Capital allocation via user-supplied formulas is also a critical part of version 5.2. Version 5.2 also allows netting of multiple transactions to the same counterparty using both user-specified netting rules and Basel II specified netting procedures. Version 5.2 is being released to Kamakura clients in stages through the first quarter of 2005.