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词条 Kamakura Corporation
释义

  1. Products and Services

  2. History

  3. Awards

  4. Publications

  5. References

  6. External links

{{Infobox company
| name = Kamakura Corporation
| logo =KamakuraCorporationLogoSmall.svg
| type = Closely held private company
| traded_as =
| key_people = Prof. Robert A. Jarrow (Managing Director of Research)
| industry = Software
| revenue =
| operating_income=
| net_income =
| owner = Dr Donald R. van Deventer
| num_employees =
| foundation = 1990
| location = Honolulu, United States
| homepage = www.kamakuraco.com
}}

Kamakura Corporation is a global financial software company headquartered in Honolulu, Hawaii. It specializes in software and data 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 2018 Kamakura had served more than 330 clients in 47 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 has two primary products. Kamakura Risk Manager (KRM), an enterprise risk management system integrating credit risk management including IFRS 9 and CECL, market risk management, asset liability management, Basel II and Basel III and other capital allocation technologies, transfer pricing, and performance measurement. Kamakura Risk Information Services (KRIS) is a risk portal providing data for quantitative credit risk measures such as default probabilities, bond spreads, implied spreads and implied ratings for corporate, sovereign and bank counterparties. It also allows users to stress portfolios through Macro Factor Sensitivities and Portfolio Management tools. The Kamakura Troubled Company index measures the percentage of 39,000 public firms in 68 countries that have an annualized one- month default risk of over one percent. In January 2018 the company released its Troubled Bank Index.

History

{{prose|section|date=March 2013}}
  • 2018 Kamakura released version 10 of its flagship product, Kamakura Risk Manager (KRM) in March
  • 2018 Kamakura was named for the second consecutive year to the World Finance 100
  • 2017 Hong Leong Finance signed with Kamakura Corporation's risk management software.[1]
  • 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.[8] First credit model with random interest rates published.
  • 1990 Company founded in Tokyo, Japan.

Awards

  • World Finance 100 2017, 2016, 2012 Credit Technology Innovation Awards 2010 winner: Thomson Reuters (Kamakura default probability service) [9]
  • Credit Technology Innovation Awards 2010 winner: Fiserv (Kamakura Risk Manager) [10]

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}}[11]
  • 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}}[12]
  • Asset and Liability Management: A Synthesis of New Methodologies, RISK Books, 1998, {{ISBN|1-899-332-76-6}}[13]
  • Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management, 1997, IRWIN Professional Publishing, {{ISBN|0-7863-0964-4}}[14]
  • Risk Management in Banking: The Theory & Application of Asset & Liability Management, 1993, McGraw-Hill, {{ISBN|1-55738-353-7}}[15]

References

1. ^{{Cite news|url=https://www.finextra.com/pressarticle/71570/hong-leong-finance-signs-with-kamakura|title=Hong Leong Finance signs with Kamakura|last=Finextra|date=2017-11-14|work=Finextra Research|access-date=2017-11-16|language=en}}
2. ^Kamakura Corporation Milestones, retrieved 8 March 2013
3. ^http://www.risk.net/digital_assets/530/techrank.pdf
4. ^Kamakura launches sovereign default probability service, RISK Magazine, 20 May 2008
5. ^Kamakura expands CDS information service, RISK Magazine, 27 January 2006
6. ^Ontario Teachers’ Pension Plan licenses credit risk software from Kamakura, RISK Magazine, 04 September 2003
7. ^Toronto-Dominion Tests New Asset/Liability Analysis System, RISK Magazine, 08 April 1996
8. ^1 Veteran Wachovia Banker Martin Zorn Named Chief Administrative Officer of Kamakura Corporation, 26 January 2011
9. ^Thomson Reuters: Kamakura default probability service, RISK Magazine, 01 November 2010
10. ^Fiserv: Kamakura Risk Manager, RISK Magazine, 01 November 2010
11. ^{{Cite book|title=Advanced Finacial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management|last=van Deventer|first=Donald|last2=Imai|first2=Kenji|last3=Mesler|first3=Mark|publisher=Wiley & Sons|year=2013|isbn=978-1-118-27854-3|edition=2|location=Singapore|pages=|language=English|quote=|via=}}
12. ^{{Cite book|title=Advanced Finacial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management|last=van Deventer|first=Donald|last2=Imai|first2=Kenji|last3=Mesler|first3=Mark|publisher=Wiley & Sons|year=2005|isbn=978-0-470-82126-8|edition=1|location=Singapore|pages=|language=English|quote=|via=}}
13. ^{{Cite book|title=Asset and Liability Management: A Synthesis of New Methodologies|last=|first=|publisher=Risk Books|year=1998|isbn=1-899-332-76-6|editor-last=Jarrow|editor-first=Robert|location=London|pages=|language=English|quote=|editor-last2=van Deventer|editor-first2=Donald|via=}}
14. ^{{Cite book|title=Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management|last=van Deventer|first=Donald|last2=Imai|first2=Kenji|publisher=IRWIN Professional Publishing|year=1997|isbn=0-7863-0964-4|edition=1|location=USA|pages=|language=English|quote=|via=}}
15. ^{{Cite book|title=Risk Management in Banking: The Theory & Application of Asset & Liability Management|last=Uyemura|first=Dennis|last2=van Deventer|first2=Donald|publisher=IRWIN Professional Publishing|year=1993|isbn=1-55738-353-7|location=USA|pages=|language=English|quote=|via=}}

External links

  • BusinessWeek: Company Overview of Kamakura Corporation
  • Kamakura Corporation Official site
  • Kamakura Risk Information Services (KRIS)

6 : Software companies based in Hawaii|Companies based in Honolulu|Companies established in 1990|Financial software companies|Banking software companies|1990 establishments in Hawaii
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