Kamakura Risk Manager Features List
Multiperiod balance sheet dynamics for stress testing & simulations
Net interest income (NII) forecasting & sensitivity analysis
- NII forecasting of the full balance sheet, NII and FTP.
- Sensitivity and component analysis measures changes in earnings given parallel and nonparallel interest rate changes, with behavioral assumptions and embedded options.
- Gap analysis shows the repricing and maturity profile of the firm's financial instruments.
Comprehensive market valuation & economic value of equity (EVE) sensitivity
- Ability to utilize a wide variety of fixed-income data input formats.
- Fixed/floating rate instrument valuation, including interest rate probability distributions for any rate level and time horizon and automated forward rate curve generation.
- Accepts a variety of interest and principal payment schedules, multiple-day count conventions, payment in advance or arrears, and customizable holiday tables.
- Mathematical functions for floating rate indices, including lags and moving averages, minimum of two rates, maximum of two rates, etc.
- Several out-of-the-box interest rate models, including multifactor Heath Jarrow Morton (HJM) term structure model.
- Best-in-class yield curve smoothing: Fit credit risk-free curves utilizing maximum smoothness of forward rate curves as the foundation.
- Multifactor credit model capability.
- Stress testing with respect to any risk factor.
- Transaction-level processing.
- Built-in linear and nonlinear regression.
- Gap analysis shows the repricing and maturity structure of the firm's financial instruments.
Funds transfer pricing (FTP)
- Option-adjusted transfer prices with fully rational consumer behavior.
- Net income simulation for each transfer pricing book.
- Full mark-to-market of the transfer pricing books.
- Transfer pricing and valuation of nonmaturity assets and liabilities.
Value-at-risk (VAR) calculation methods
- Variance-covariance (matrix) VAR.
- Historical VAR using historical market values .
- Full option-adjusted, credit-adjusted Monte Carlo simulation-driven VAR.
Credit risk
- Integration with SAS KRIS and/or other credit modeling approaches.
- Integrated market risk and credit risk for capital and counterparty credit risk calculations.
- Credit risk measures.
- Dynamic simulation of default using macroeconomic factor-driven default probabilities.
- Basel III metrics.
- Supports fundamental review of the trading book (FRTB) compliance.