SOURCE: Kamakura Corporation

October 09, 2008 10:00 ET

Kamakura Expands Transaction-Level Views of Liquidity Risk, Credit Risk, and Market Risk

Enhanced KRM Version 7.0 Transfer Pricing Capabilities

NEW YORK, NY--(Marketwire - October 9, 2008) - Kamakura Corporation announced Thursday that it has dramatically expanded the ability of the Kamakura Risk Manager enterprise risk system to calculate and display the risks of each transaction on the balance sheets of major financial institutions. The enhanced transfer pricing capabilities in Kamakura Risk Manager Version 7.0 allow major financial institutions and corporations to parse the incremental risk of each asset and liability on the balance sheet into liquidity risk, credit risk, and interest rate risk components and simulate it forward in a realistic way. KRM Version 7.0 provides 8 different user choices for assigning matched maturity credits and costs of funds so that the Board of Directors, senior management, internal audit departments, and day to day risk managers have complete "drill down" capability that shows how the total risk of an organization has been created from the transaction level up.

"Bloomberg reported in a story on October 7 that Bear Stearns was operating with near zero visibility of its risk positions, both in terms of the amount of risk and its sources," said Warren Sherman, Kamakura President and Chief Operating Officer. "Similarly, Merrill Lynch and UBS both admitted that their Boards did not have appropriate visibility on the home price risk of those institutions, allowing the exposure to grow too large and making appropriate hedging a shot in the dark. Modern transfer pricing technology like that embedded in KRM version 7.0 eliminates the fog around risk positions to give perfect visibility to the total risk of the institution, both in aggregate and at the transaction level."

"In 1973, Wm. Mack Terry and his colleagues at the Bank of America in San Francisco introduced the world's first matched maturity transfer pricing system," added Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "Over the last 35 years, the concept has been increasingly refined and modified to incorporate the best practice calculations embedded in KRM Version 7.0. Best practice transfer pricing calculations would have made it clear that neither Bear Stearns nor Lehman Brothers had more than a marginal chance of survival when funding 30 year sub-prime mortgage loans with thirty day borrowings. Board members can and should demand clarity of disclosure on the total risk of an institution and the contribution of each business unit and transaction to total risk. This capability is available now, and Kamakura has been gratified that so many institutions have reached out to Kamakura for best practice risk analytics during the current crisis."

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 (, Unisys (, and Zylog Systems ( making Kamakura products available in almost every major city around the globe.

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