Mexico's largest bank BBVA Bancomer is to implement Honolulu-based Kamakura's full market risk management software suite, including option-adjusted valuation and three different value at risk calculations.
The Kamakura Risk Manager-var suite includes historical value at risk, the variance-covariance approach to value at risk, and has the ability to calculate both VAR at any future date and VAR for any incremental additions to a portfolio during the day.
Dr Fausto Membrillo, assistant treasurer at BBVA Bancomer, says: "We are convinced that Kamakura has the analytics to serve the needs of a market like Mexico."
Joaquin Escamilla, treasurer at BBVA Bancomer, adds: "Over the last decade, nearly every corporate asset that we own has grown to include some dual currency features involving the peso, the dollar or the real. We often have instruments that are based on both real and nominal interest rates. We believe that Kamakura’s implementation of Professor Robert Jarrow’s derivative and interest rate models will allow us to maximise shareholder value through excellent pricing, hedging, and performance measurement."