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.