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Honolulu, United States of America Office Head Office

2222 Kalakaua Avenue, Suite 1400

New York, NY Office

New York

Tokyo, Japan Office Head Office

Level 11, Aoyama Palacio Tower 3-6-7 Kita-Aoyama Minato-ku Tokyo, 107-0061 Japan




Kathren Bade
[email protected]

Overview of KRM for Integrated Credit Risk, Market Risk, ALM

Kamakura Risk Manager (KRM)

All major branches of risk management are dependent on the same core analytics techniques.  Kamakura recognized this in 1993 when we launched our company as the world’s first vendor to provide a fully integrated enterprise risk management system.Kamakura Risk Manager (KRM) completely integrates credit portfolio management, market risk management, asset and liability management, Basel II and other capital allocation technologies, transfer pricing, and performance measurement. KRM is directly applicable to operational risk, total risk, and accounting and regulatory requirements using the same analytical engine, GUI and reporting.Kamakura’s risk management vision: completely integrated risk solution based on common assumptions and methodologies

KRM offers:

  • Sophisticated Yield Curve Modeling
  • Flexible Risk Factor Modeling
  • Random Interest Rates Modeling
  • Arbitrage-Free Financial Instrument Valuation
  • Scenario Modeling and Portfolio Stress Testing
  • Delta-Normal Value at Risk Measurement
  • Historical Value at Risk Measurement
  • Monte Carlo Value at Risk Measurement
  • Dynamic Value at Risk and Expected Shortfall

View other products from Kamakura Corporation

KRIS Troubled Company Index

Kamakura Troubled Company Index Kamakura defines a troubled company as one whose annualized monthly default probability is more than 1.00%. The troubled company index represents the percentage of firms in the global KRIS public firm universe classified as troubled. The current troubled company index is based on more than 20,000 firms in 29 countries. KRIS …

Kamakura Risk Management Research

Kamakura Original Research Kamakura’s risk management tools and counsel are built on a foundation of research that is ongoing, unrivaled, extensive, peer reviewed and highly regarded. This is one reason why Kamakura is a recognized leader in the application of advanced analytics in trading and financial risk management.   Derivatives are not static, unchanging or …

Kamakura Risk Consulting Services

Kamakura Risk Consulting Services Kamakura offers a portfolio of consulting services relating to asset valuation, derivatives pricing, risk management and other quantitative solutions. We combine industry-leading research with practical experience in finance, trading, banking, economics and diverse business organizations. As a leader in quantitative finance and risk management innovation, Kamakura delivers counsel and results to …