SOURCE: Kamakura Corporation

Kamakura Corporation

February 26, 2009 10:00 ET

Kamakura Announces Outsourced Processing for Government Mandated Bank Capital Stress Tests

NEW YORK, NY--(Marketwire - February 26, 2009) - Kamakura Corporation announced that it has expanded its Kamakura On-line Processing Service ("KOPS") to include government mandated capital stress tests for major financial institutions both in the U.S. and in other countries. The newly expanded KOPS program includes stress tests of capital values, asset values, deposit volumes, and profitability with respect to macro factors like home prices, unemployment rates, foreign exchange rates, stock indices, and gross domestic product. The expanded KOPS valuation service makes use of the macro-factor sensitivity of default probabilities and credit spreads for the full range of counterparties, from retail borrowers to small business, public companies, and sovereigns. The expanded KOPS processing uses both client-specified default models and standard Kamakura default models in which macro economic variables drive default probabilities, credit spreads, collateral values, and recovery rates. The KOPS service also allows "delayed recovery" that is consistent with current market conditions.

"Over the last year, senior management at Merrill Lynch, UBS, and Citigroup has publicly attributed their risk management issues to a lack of visibility at the Board level to the macro factor risk exposure that the institution was taking," said Warren Sherman, Kamakura President and Chief Operating Officer. "The current emphasis of bank regulators in the U.S. and other major OECD countries on stress testing capital with respect to these macro factors is both necessary and desirable. Existing Kamakura clients have had this capability for more than six years. This expansion of the KOPS service allows major institutions that have not previously had access to this technology to employ it quickly on an outsourced basis with the option to bring the processing in-house in the future."

The expanded KOPS service makes use of the Kamakura Risk Manager enterprise-wide risk management system, which is able to stress test the movements of macro factors at transaction level for all transactions on the balance sheet, or any subset of those transactions, for a major financial institution, corporation, or government related financial services organization. Default models are macro factor driven for all classes of borrowers, from retail to SME to sovereigns. As part of the KOPS service, Kamakura also applies the data and insights from the Kamakura Risk Information Services ("KRIS") default probability service for public firms and sovereigns. This service, which includes 19 years of monthly history for the default probabilities on 22,000 public firms in 30 countries, allows Kamakura to measure macro factor exposure of individual corporations to macro factors like GDP, interest rates, home prices, the unemployment rate, and other macro variables. This macro factor sensitivity is much more accurate than using industry default rates or ratings in stress tests. Citigroup's rating, for example, was unchanged for more than a decade beginning in the mid-1990s, so the firm specific rating shows little or no correlation with macro factor movements. With the KRIS default models, macro factor sensitivity for corporate exposure is firm specific. Advanced KRIS subscribers and subscribers to the KOPS service have access to 22,000 corporations' company specific default formulas that precisely show, for example, what impact a decline in home prices has on the default probability of the institution. For more information on the KOPS service, please contact Julian Goodkin in London (jgoodkin@kamakuraco.com), Warren Sherman in the Americas (wsherman@kamakuraco.com) or Toshio Murate in Tokyo (tmurate@kamakuraco.com).

About Kamakura Corporation

Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities and default correlations for listed companies since November 2002. Kamakura announced the KRIS Sovereign Default Probability Service on May 19, 2008. Kamakura launched its collateralized debt obligation (CDO) pricing service KRIS-CDO in April 2007. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, transfer pricing, and capital allocation. The Kamakura Risk Manager system, now in version 7.0, was first offered commercially in 1993 and has been continually enhanced since then. Kamakura has served more than 185 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 27 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv/IPS-Sendero (www.fiservips-sendero.com), Unisys (www.unisys.com), and Zylog Systems (www.zylog.co.in) making Kamakura products available in almost every major city around the globe.

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