Honolulu-based Kamakura Corporation has released a new version of its integrated risk management application KRM.
Kamakura Risk Manager (KRM) 4.3 allows defaults to be simulated on a multiperiod basis for every counterparty.
The vendor says the new version incorporates both reduced form credit models for estimating default probabilities and the older Merton structural models of default. Other enhancements include a volatility smile capability for all fixed income, foreign exchange and equity options.
The system also includes a fully distributed Monte Carlo simulation and has a multi-period framework that corrects valuation and risk assessment of collateralised debt obligations or any other balance sheet.
Donald van Deventer, Kamakura chairman and CEO, says: ""Basel II and best practice in shareholder value creation require the kind of multi-period credit risk management capabilities that we have launched in KRM version 4.3.
We believe that the integration of credit risk with market risk, ALM and transfer pricing is now completely seamless and that the era of 'silo' risk systems is at an end."