Kamakura Corporation
 | |
| Closely held private company | |
| Industry | Software |
| Founded | 1990 |
| Headquarters | Honolulu, United States |
Key people | Prof. Robert A. Jarrow (Managing Director of Research) |
| Owner | Dr Donald R. van Deventer |
| Website | www.kamakuraco.com |
Kamakura Corporation is a U.S. financial software company headquartered in Honolulu, Hawaii. It specializes in software for risk management for banking, insurance and investment businesses.
The company was founded in 1990 by its current CEO and Chairman Dr. Donald R. van Deventer, and as of 2011 Kamakura had served more than 200 clients in 34 countries.[1] Cornell professor Robert A. Jarrow, co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives and the reduced form Jarrow–Turnbull credit risk models employed for pricing credit derivatives, serve as the company's Managing Director of Research.
Products and Services
The company's main product is the Kamakura Risk Manager (KRM), an enterprise risk management system integrating credit risk management, market risk management, asset liability management, Basel II and other capital allocation technologies, transfer pricing, and performance measurement. Kamakura Risk Information Services (KRIS) is a data service for quantitative credit risk measures such as default probabilities, implied spreads and implied ratings for corporate and sovereign counterparties.
History
- 2012 Jens Hilscher (Senior Research Fellow) awarded Outstanding Paper in Corporate Finance & Outstanding Paper in Financial Institutions by Eastern Finance Association[2]
- 2011 Jens Hilscher receives Harry M. Markowitz Award from Journal of Investment Management
- 2010 Jens Hilscher wins Deutsche Bank Prize in Financial Economics from Review of Finance 2nd Best Paper
- 2009 U.S. Office of the Comptroller of the Currency signs for KRIS public firm default models, KRIS sovereign default models and KRIS credit portfolio manager
- 2009 Kamakura and Fiserv named number world number 1 asset and liability management vendor and number 1 liquidity risk vendor in RISK Technology 2009 survey[3]
- 2009 Robert A. Jarrow awarded “life time achievement award” by RISK Magazine
- 2008 Named top 3 worldwide financial information vendor in RISK Technology 2008 survey. Launched a Basel II-compliant default probability service for sovereigns.[4]
- 2007 KRIS-CDO launched
- 2006 Implied Ratings and Implied CDS Spreads added to KRIS,[5]
- 2005 Stochastic modeling of collateral and LGD.
- 2004 Pair-wise default correlations added to KRIS
- 2003 Completed first Basel II client implementation. Insurer MetLife and pension fund OTPP became clients.[6]
- 2002 Launched KRIS default probability service for 20,000 listed firms
- 2001 First vendor to offer integrated credit & market risk.
- 2000 First implementation of a reduced form credit risk model.
- 1998 Stochastic multi-period net income simulation added to KRM.
- 1997 Kamakura relocated to Honolulu and qualified for State R&D subsidy. Jarrow-Lando-Turnbull publish Markov model for term structure of credit spreads.
- 1996 First closed-form non-maturity deposit valuation model implemented in KRM. TD Bank Financial Group start using KRM.[7]
- 1995 Robert A. Jarrow joined the firm as Director of Research.
- 1994 KRM: First stochastic interest rate term structure model-based valuation software.
- 1993 Kamakura Risk Manager first sold commercially.[1] First credit model with random interest rates published.
- 1990 Company founded in Tokyo, Japan.
Awards
- Credit Technology Innovation Awards 2010 winner: Thomson Reuters (Kamakura default probability service) [8]
- Credit Technology Innovation Awards 2010 winner: Fiserv (Kamakura Risk Manager) [9]
Publications
- Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, 2nd Edition, Wiley & Sons, 2013, ISBN 978-1-118-27854-3[10]
- Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, 1st Edition, Wiley & Sons, 2005, ISBN 978-0-470-82126-8[11]
- Asset and Liability Management: A Synthesis of New Methodologies, RISK Books, 1998, ISBN 1-899-332-76-6[12]
- Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management, 1997, IRWIN Professional Publishing, ISBN 0-7863-0964-4[13]
- Risk Management in Banking: The Theory & Application of Asset & Liability Management, 1993, McGraw-Hill, ISBN 1-55738-353-7[14]
References
- 1 2 Veteran Wachovia Banker Martin Zorn Named Chief Administrative Officer of Kamakura Corporation, 26 January 2011
- ↑ Kamakura Corporation Milestones, retrieved 8 March 2013
- ↑ http://www.risk.net/digital_assets/530/techrank.pdf
- ↑ Kamakura launches sovereign default probability service, RISK Magazine, 20 May 2008
- ↑ Kamakura expands CDS information service, RISK Magazine, 27 January 2006
- ↑ Ontario Teachers’ Pension Plan licenses credit risk software from Kamakura, RISK Magazine, 04 September 2003
- ↑ Toronto-Dominion Tests New Asset/Liability Analysis System, RISK Magazine, 08 April 1996
- ↑ Thomson Reuters: Kamakura default probability service, RISK Magazine, 01 November 2010
- ↑ Fiserv: Kamakura Risk Manager, RISK Magazine, 01 November 2010
- ↑ van Deventer, Donald; Imai, Kenji; Mesler, Mark (2013). Advanced Finacial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management (2 ed.). Singapore: Wiley & Sons. ISBN 978-1-118-27854-3.
- ↑ van Deventer, Donald; Imai, Kenji; Mesler, Mark (2005). Advanced Finacial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management (1 ed.). Singapore: Wiley & Sons. ISBN 978-0-470-82126-8.
- ↑ Jarrow, Robert; van Deventer, Donald, eds. (1998). Asset and Liability Management: A Synthesis of New Methodologies. London: Risk Books. ISBN 1-899-332-76-6.
- ↑ van Deventer, Donald; Imai, Kenji (1997). Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management (1 ed.). USA: IRWIN Professional Publishing. ISBN 0-7863-0964-4.
- ↑ Uyemura, Dennis; van Deventer, Donald (1993). Risk Management in Banking: The Theory & Application of Asset & Liability Management. USA: IRWIN Professional Publishing. ISBN 1-55738-353-7.
External links
- BusinessWeek: Company Overview of Kamakura Corporation
- Kamakura Corporation Official site
- Kamakura Risk Information Services (KRIS)
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