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Kamakura KRM 5.2 Software Version Adds Advanced Interest Rate, ALM and Basel II Analytics

KRM 5.2 Emphasizes Integrated Interest Rate and Credit Risk Analysis

Kamakura Corporation reported today that it has completed development work on version 5.2 of its industry-leading Kamakura Risk Manager enterprise wide risk management software package. The new version, launched less than three months after the previous release, adds powerful interest rate risk management and Basel II-related credit risk management analytics to the integrated interest rate risk, market risk, and credit risk analytics of KRM.

"Asset and liability management (ALM) and accounting standards IAS 39/FAS 133 require risk analysis to be done on a multi-period basis with both a market value and a financial accounting focus," said Warren Sherman, Kamakura President and Chief Operating Officer. "Version 5.2 of KRM allows future business, future profit margins, and new business from reinvested cash flows to be driven by a rich array of user-specified mathematical formulas based on random interest rate movements, including if/then, maximum, minimum, and moving average functions linked to multiple points on randomly moving yield curves. KRM 5.2 also allows multiperiod stochastic simulation of future Basel II capital ratios, stress-testing of Basel II capital ratios with macro-factor-driven default probabilities, allocation of capital for operational risk, and advanced treatment of guarantees' and collaterals' impact on loss given default."

KRM version 5.2 incorporates the ability to vary exposure at default by product and, in some cases, to have an exposure at default equal to more than 100% of the related loan commitment. This is typical of overdrafts which often exceed limits at the time of default. Version 5.2 also includes an automated feed to and from client general ledgers of inputs and outputs that are involved in risk adjusted return on capital and capital allocation. Stochastic simulations of future capital ratios, both Basel II and user-defined, are a function of both current assets and liabilities and future new business in this new version. Confidence intervals for these capital ratios are supplied by version 5.2. Capital allocation via user-supplied formulas is also a critical part of version 5.2. Version 5.2 also allows netting of multiple transactions to the same counterparty using both user-specified netting rules and Basel II-specified netting procedures. Version 5.2 is being released to Kamakura clients in stages through the first quarter of 2005.

More information on KRM, first launched in 1993, and Kamakura's approach to integrated interest rate risk and credit risk be found on the Kamakura Corporation web site www.kamakuraco.com and in "Advanced Financial Risk Management" (John Wiley & Sons, 2004) by Kamakura's van Deventer, Kenji Imai, and Mark Mesler www.amazon.com)">. "Advanced Financial Risk Management" was recently named "best finance book of 2004" on www.riskbook.com.

About Kamakura Corporation

Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities for listed companies since November, 2002. Kamakura launched its private firm modeling product in January 2004. Kamakura is also the first company in the world to develop and install a fully integrated credit risk, market risk, asset and liability management, and transfer pricing system. Kamakura has clients ranging in size from $3 billion in assets to $1 trillion in assets. Kamakura's risk management software is currently used in the United States, Germany, Canada, the United Kingdom, Australia, China and many other countries in Asia.

Kamakura's research effort is led by Professor Robert Jarrow, who was named Financial Engineer of the Year in 1997 by the International Association of Financial Engineers. Professor Jarrow and Dr. van Deventer were both named to the 50-member RISK Hall of Fame in December 2002. Kamakura management has published twenty-one books and more than 100 publications on credit risk, market risk, and asset and liability management. Kamakura has world-wide distribution alliances with IPS-Sendero www.ips-sendero.com)"> and Unisys www.unisys.com)">, making Kamakura products available in almost every major city around the globe.

For more information contact:

Kamakura Corporation
2800 Woodlawn Drive, Suite 138
Honolulu, Hawaii  96822
Telephone: 1-808-539-3830
Facsimile: 1-808-539-3748
Information: info@kamakuraco.com
Web site: www.kamakuraco.com

Distributed by Market Wire