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 2019 Kamakura had served more than 330 clients in 47 countries. Cornell professor Robert A. Jarrow, co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives and the reduced formJarrow–Turnbullcredit 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, 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 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 76 countries that have an annualized one- month default risk of over one percent. In January 2018 the company released its Troubled Bank Index.
History
2018 Kamakura released version 10 of its flagship product, Kamakura Risk Manager 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.
2012 Jens Hilscher awarded Outstanding Paper in Corporate Finance & Outstanding Paper in Financial Institutions by Eastern Finance Association
2011 Jens Hilscher receives Harry M. Markowitz Award from Journal of Investment Management
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.
2007 KRIS-CDO launched
2006 Implied Ratings and Implied CDS Spreads added to KRIS,
2003 Completed first Basel II client implementation. Insurer MetLife and pension fund OTPP became clients.
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.
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. First credit model with random interest rates published.
1990 Company founded in Tokyo, Japan.
Awards
2018 Kamakura Corporation recognized as a Category Leader in Credit by Chartis Research in its report "Technology Solutions for Credit Risk 2.0 2018"
