Based on sophisticated analyses of market and financial data using advanced quantitative models, Kamakura’s modeling solution is a collection of financial information services that subscribers can access on the Internet at their convenience.

Kamakura Risk Information Services (KRIS) provides daily updates on counterparty credit information via a suite of dynamic modeling tools for both corporate and sovereign counterparties and rooted in the industry’s most advanced quantitative credit modeling capabilities. (Multiple independent tests have established that the KRIS default probability models significantly outperform all other established vendors for predictive power.)

KRIS enables banks, portfolio managers and credit market participants with an array of tools to measure or manage Default Probability Estimates for Credit-Risky Entities, Term Structure of Default Probabilities, Basel II Default Probabilities, Multiple Default Probability, Yield, Discount and Forward Rate Curves, and Interest Rate Volatilities.

Credit Portfolio Analysis

KRIS credit portfolio analysis features high ease of use due to its seamless integration with the Kamakura default probability service and its reliance on the extensive Kamakura network of multi-chip servers Which perform the calculations?

Overview

KRIS credit portfolio analysis boasts a number of important features that make it unique among analytical packages, chief among them are a multiple models approach, powerful servers hosted by Kamakura in a highly secure computer facility shared with major financial institutions and agencies of the U.S. government, and repeated demonstrations as more accurate than agency ratings and agency-supplied default probabilities as a basis for default prediction.

Benefits

The primary benefits of KRIS credit portfolio analysis are objective credit quality measurement, modern default correlation technology, high performance default prediction and no conflict of interest. credit portfolio modeling analyses are available via online access.

Techniques

Users can choose among multiple credit portfolio simulation techniques. These techniques include the commonly used Copula/Merton approach as well as more advanced methodologies such as Macro-Factor Driven Default Probability Portfolio Modeling which can pull from 27 international macro-economic factors. Outputs include valuations, value distributions, losses and loss distributions.