Kamakura Corporation announced Thursday that a major upgrade of Kamakura Risk Manager has been shipped to clients in the Americas, Europe, the Middle East, Africa and Asia. The new release, KRM version 7.1.2, has three very significant enhancements. From the new release onward, Kamakura Risk Manager can now use the IBM DB2 relational data base management system in addition to data bases from Oracle, Microsoft and others. The new KRM version also addresses one of the major issues contributing to the 2007-2010 credit crisis-the over used assumption of the normal distribution in risk management. The new KRM version allows the user to supply literally any probability distribution for a risk factor that drives valuations, in addition to 8 other probability distributions already available in KRM. These user-defined distributions are loaded into KRM via data base table entries, and they can be used in the full range of KRMâs credit risk, market risk, liquidity risk, and asset and liability management calculations. The new Kamakura Risk Manager version also has a full implementation of the Islamic (Hijri) calendar as announced by Kamakura in this January 27, 2010 press release:
In a separate item, Kamakura announced that Managing Director Robert A. Jarrow, Professor at Cornellâs Johnson School of Business, testified before Congress on May 11 regarding the valuation of warrants issued under the U.S. Treasuryâs Troubled Asset Relief Program (TARP). Professor Jarrowâs full written testimony and a video of his comments are now available at www.kamakuraco.com under ânews.â
Kamakuraâs President Warren A. Sherman said this Thursday about the new KRM version, âThis new release of Kamakura Risk Manager has been driven by KRMâs world-wide user base. The DB2 capabilities have been driven by the massive data base needs of our large clients in China. The superb mathematicians using KRM for risk management in Moscow have been at the forefront of demand for user-defined probability distributions. Finally, the very talented risk professionals in our Middle Eastern client base led us to project the Islamic calendar farther into the future than official projections have yet gone. We are grateful for these insights and to their contribution to Kamakuraâs number 1 rankings in the RISK Technology 2009 rankings for asset and liability management and liquidity risk management.â
In addition to the three major development items listed above, the new release of KRM adds a number of important new features:
â¢ Kamakuraâs multiperiod simulation now provides for the liquidation of collateral at then-current market values in the event of default by a collateralized loan or security of any type
â¢ The new KRM version enhances the reporting and analysis of futures positions in both value at risk and multiperiod monte carlo simulations
â¢ The new version of KRM adds a considerable amount of flexibility to the transfer pricing of assets and liabilities on a transaction level basis and expands the ability to do duration-based transfer pricing
â¢ KRM version 7.1.2 also provides for enhanced GAAP accounting for bonds and swap transactions that have compounding interest features
â¢ The new version allows the use of remaining life as an input to formulas driving variable interest rates on a wide range of assets and liabilities
â¢ Version 7.1.2 of KRM provides for advanced GAAP accounting for equities in forward looking monte carlo simulations
â¢ Version 7.1.2 adds accounting for foreign exchange gains and losses in accordance with International Accounting Standard 21, paragraphs 55-57, to forward looking simulations
â¢ The new version has enhanced fair value reporting for derivatives that are not used as hedges in accordance with International Accounting Standard 39 and Financial Accounting Standard 133.
â¢ The new version allows equity-linked swaps and compounding swaps to be analyzed both with and without principal exchange at maturity.