Kamakura Risk Manager (KRM) from Kamakura Corporation (SAS)

A comprehensive ALM solution offering interest rate risk management, liquidity risk assessment, and funds transfer pricing. Includes Monte Carlo simulation, value-at-risk analysis, stress testing, and CECL/IFRS 9 compliance.

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Product analysis by function

Asset and Liability Management for Treasury

Systems that help banks manage their balance sheet, including interest rate risk, liquidity risk, and capital adequacy.
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Balance Sheet Management
(8 Yes /8 Known /10 Possible features)

Liquidity Risk Management
(3 Yes /3 Known /10 Possible features)

Interest Rate Risk Management
(6 Yes /6 Known /10 Possible features)

Market Risk Management
(6 Yes /6 Known /10 Possible features)

Fund Transfer Pricing
(2 Yes /2 Known /10 Possible features)

Profitability and Performance Management
(2 Yes /2 Known /10 Possible features)

Capital Management
(9 Yes /9 Known /10 Possible features)

Data Management and Analytics
(6 Yes /6 Known /10 Possible features)

Compliance and Reporting
(6 Yes /6 Known /10 Possible features)

System Architecture and Integration
(8 Yes /8 Known /12 Possible features)

Enterprise Risk Management Systems for Risk Management

Comprehensive platforms that provide an integrated view of all risks facing the pension fund, including tools for risk identification, assessment, mitigation, and reporting across multiple risk categories.
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Gap Analysis Ability to analyze and visualize the gaps between rate-sensitive assets and liabilities		KRM offers gap analysis capability as part of its ALM and interest rate risk management suite.
Duration Analysis Calculation of duration metrics to assess interest rate sensitivity of portfolio		Duration analysis is a standard in KRM's ALM, for interest rate sensitivity.
Maturity Ladder Generation Creation of detailed maturity profiles for assets and liabilities		Detailed maturity ladder/profile analysis is included for ALM.
Balance Sheet Forecasting Ability to project future balance sheet compositions based on various assumptions		Balance sheet forecasting, as part of ALM simulation, is documented in KRM materials.
Scenario Analysis Depth Number of concurrent scenarios that can be analyzed		No information available
What-If Analysis Tools to simulate the impact of strategic decisions on the balance sheet		What-if scenario and stress testing are core use cases for KRM.
Regulatory Reporting Automation Automated generation of regulatory reports from balance sheet data		Regulatory reporting automation (including CECL/IFRS 9) is listed as a KRM compliance feature.
Custom Balance Sheet Classification Ability to create custom classifications and hierarchies for balance sheet items		No information available
Balance Sheet Optimization Algorithms to suggest optimal balance sheet structure based on constraints		KRM's optimization tools are used for suggesting optimal balance sheet structure.
Historical Trending Tools to analyze and visualize balance sheet trends over time		Historical trending and advanced analytics are part of KRM's reporting and dashboard toolsets.

Liquidity Coverage Ratio (LCR) Calculation Automated calculation of LCR in accordance with Basel III		LCR calculation in line with Basel III is supported according to KRM product documents.
Net Stable Funding Ratio (NSFR) Calculation Automated calculation of NSFR in accordance with Basel III		NSFR is referenced as supported for Basel III/IV compliance.
Liquidity Stress Testing Capabilities to simulate liquidity under various stress scenarios		Liquidity stress testing is a core functionality.
Intraday Liquidity Monitoring Real-time tracking of liquidity positions throughout the day		No information available
Liquidity Risk Early Warning Indicators Predefined triggers and alerts for potential liquidity issues		No information available
Contingency Funding Plan Integration Integration of contingency funding plans into liquidity management		No information available
Cash Flow Forecasting Horizon Maximum timeframe for detailed cash flow projections		No information available
Survival Period Analysis Tools to determine how long the bank can survive under stress conditions		No information available
Liquidity Buffer Optimization Tools to optimize the composition of liquidity buffers		No information available
Counterparty Liquidity Risk Assessment Analysis of liquidity risks posed by key counterparties		No information available

Net Interest Income (NII) Simulation Ability to project NII under various interest rate scenarios		NII projection/simulation under various scenarios is standard in KRM ALM.
Economic Value of Equity (EVE) Analysis Tools to measure the impact of interest rate changes on equity value		EVE analysis is included for interest rate risk management.
Yield Curve Risk Analysis Assessment of risks from yield curve shifts, twists, and other deformations		Yield curve risk analysis – including shifts, twists, etc. – is in KRM documentation.
Basis Risk Measurement Tools to analyze basis risk between different rate indices		Basis risk metrics for different indices are available.
Option-Adjusted Spread Analysis Capabilities to measure option-adjusted spreads for embedded options		No information available
Interest Rate Derivatives Modeling Sophisticated modeling of interest rate derivatives and their impact		Interest rate derivatives modeling and valuation are supported (Monte Carlo and other engines).
Prepayment Risk Modeling Tools to model and analyze prepayment behavior and its impact		No information available
Rate Shock Analysis Simulation of immediate parallel and non-parallel rate shocks		Rate shock analysis is implemented as part of KRM’s IRRBB and stress test framework.
Interest Rate Volatility Analysis Tools to measure and analyze interest rate volatility		No information available
Maximum Simulation Horizon Maximum time horizon for interest rate simulations		No information available

Value at Risk (VaR) Calculation Ability to calculate VaR using different methodologies		Value at Risk (VaR) is natively supported in KRM (historical, Monte Carlo, parametric).
Expected Shortfall/Conditional VaR Calculation of expected shortfall for tail risk assessment		Expected shortfall/Conditional VaR is mentioned in risk management documentation.
Trading Book Analytics Detailed analytics for market risk in the trading book		Trading book analytics for market risk are supported.
Banking Book Market Risk Tools to assess market risk in the banking book		Market risk in the banking book is included.
Monte Carlo Simulation Capacity Number of Monte Carlo simulations supported for market risk analysis		No information available
Market Data Integration Seamless integration with market data providers		Integration with market data feeds/providers is standard in KRM.
Foreign Exchange Risk Analysis Tools to measure and analyze foreign exchange exposures		No information available
Commodity Risk Analysis Capabilities to assess exposure to commodity price fluctuations		No information available
Equity Risk Assessment Tools to measure and manage equity price risk		No information available
Stress Testing Complexity Ability to model complex market stress scenarios		Stress testing functionality, including non-linear/complex stress scenarios, is a major feature.

Multi-Currency FTP Support for transfer pricing across multiple currencies		Multi-currency FTP is supported for global banking clients.
Matched Maturity FTP Implementation of matched maturity transfer pricing methodology		Matched maturity FTP methodology supported as per documentation.
Contingent Liquidity Pricing Incorporation of contingent liquidity costs in transfer prices		No information available
FTP Curve Construction Flexible tools for building and maintaining FTP curves		No information available
Historical FTP Analysis Ability to analyze historical FTP rates and their impact		No information available
Behavioral Adjustment Integration Incorporation of behavioral assumptions into FTP calculations		No information available
Cost Component Breakdown Detailed breakdown of FTP into cost components (liquidity, credit, etc.)		No information available
FTP Simulation Tools to simulate the impact of FTP changes on business units		No information available
Transfer Rate Customization Flexibility to customize transfer rates for specific products or segments		No information available
FTP Reconciliation Tools to reconcile FTP charged/credited across the organization		No information available

Risk-Adjusted Return on Capital (RAROC) Calculation of risk-adjusted returns for performance measurement		No information available
Product Profitability Analysis Detailed profitability analysis at the product level		No information available
Customer Profitability Analysis Tools to assess profitability at the customer or segment level		No information available
Channel Profitability Assessment Analysis of profitability across different distribution channels		No information available
Cost Allocation Flexibility Sophisticated mechanisms for allocating costs to business units		No information available
Scenario-Based Profitability Forecasting Tools to forecast profitability under different scenarios		Forecasting profitability under different ALM/risk scenarios is described in KRM ALM literature.
Performance Dashboard Customization Ability to create customized performance dashboards for different users		No information available
Profitability Drill-Down Depth Number of hierarchical levels available for profitability drill-down		No information available
Efficiency Ratio Analysis Tools to analyze and track efficiency ratios		No information available
Return on Assets/Equity Calculation Automated calculation of ROA, ROE, and other key performance metrics		Automated calculation/reporting of ROA, ROE, and other ratios are included.

Regulatory Capital Calculation Automated calculation of regulatory capital requirements		Regulatory capital calculation is included with integration for Basel, CECL/IFRS 9, etc.
Economic Capital Modeling Sophisticated modeling of economic capital needs		Economic capital modeling for stress testing, risk-weighting, and planning.
Capital Allocation Methodology Flexible methodologies for allocating capital to business units		Flexible capital allocation methodologies are part of capital planning.
Capital Planning Tools Forward-looking tools for capital planning and forecasting		Forward looking capital planning and forecasting are supported.
Stress Testing Integration Integration of stress testing results into capital planning		Stress testing integration with capital planning is specifically called out.
Capital Optimization Tools to optimize capital allocation and usage		Capital optimization tools are referenced for best use of capital.
Capital Adequacy Assessment Comprehensive assessment of capital adequacy		Full capital adequacy assessment under regulatory frameworks.
Regulatory Framework Coverage Number of regulatory capital frameworks supported (Basel II, III, IV, etc.)		No information available
Capital Ratio Forecasting Tools to forecast key capital ratios under different scenarios		Forecasting capital ratios under scenarios (Basel, IFRS 9, etc.) is described.
Risk-Weighted Asset Optimization Tools to optimize the composition of risk-weighted assets		Tools for optimizing risk-weighted asset composition are included.

Data Integration Flexibility Ability to integrate with various data sources and formats		Data integration with banks' own data architectures (various formats) is stated.
Big Data Processing Capacity Volume of data that can be processed efficiently		No information available
Data Quality Management Tools for monitoring and improving data quality		Data quality management tools and validation are part of KRM's standard suite.
Data Lineage Tracking Ability to track the origin and transformations of data		Full data lineage tracking is required for compliance, and supported.
Advanced Analytics Capabilities Support for advanced analytics techniques (machine learning, etc.)		Advanced analytics (including simulation, ML, and scenario analysis) repeatedly cited in KRM technical literature.
Data Visualization Tools Sophisticated tools for visualizing complex financial data		Sophisticated visualization tools for risk/ALM analytics included.
Self-Service Analytics Ability for users to create their own analyses without IT assistance		No information available
Real-Time Analytics Capability to perform analytics on real-time data streams		No information available
Historical Data Retention Maximum period for detailed historical data retention		No information available
Predictive Analytics Tools for forecasting future trends and behaviors		Predictive analytics included for risk, capital, and liquidity planning.

Regulatory Reporting Automation Automated generation of regulatory reports		Automated regulatory report production confirmed, including CECL, IFRS 9, and Basel reports.
Multi-Jurisdiction Support Number of regulatory jurisdictions supported		No information available
Regulatory Update Management Systematic process for implementing regulatory changes		No information available
Audit Trail Functionality Comprehensive audit trails for all transactions and changes		Comprehensive audit trail for compliance and validation reasons is standard.
Regulatory Compliance Monitoring Real-time monitoring of compliance with regulatory requirements		Compliance dashboards and real-time regulatory validation built-in.
Report Customization Ability to customize reports for different stakeholders		KRM supports flexible/custom reporting for various stakeholders.
Automated Reconciliation Tools for automated reconciliation of financial data		No information available
Disclosure Management Tools for managing financial disclosures		Disclosure and regulatory reporting management tools are described.
Regulatory Sandbox Environment for testing the impact of regulatory changes		No information available
Compliance Dashboard Real-time dashboard of compliance status across regulations		Compliance dashboard for regulatory management is explicitly referenced.

Cloud Deployment Option Availability of cloud-based deployment options		KRM cloud deployment is available via SAS partnership.
On-Premises Option Availability of on-premises deployment		On-premises option remains available for bank data sovereignty needs.
API Extensibility Comprehensive API framework for system extensions and integrations		APIs for data integration and system extensibility are documented in integration guides.
Processing Speed Speed of processing standard ALM calculations		No information available
Scalability Ability to scale with growing data volumes and complexity		Scalability for large data sets and enterprises verified by client case studies.
Core Banking System Integration Seamless integration with core banking systems		Integration with core banking systems, such as SAP or similar, cited.
Data Warehouse Integration Integration with enterprise data warehouses		Data warehouse integration supported with standard connectors.
Real-Time Processing Support for real-time processing of transactions		No information available
Third-Party Integration Number of pre-built integrations with third-party systems		No information available
Disaster Recovery Comprehensive disaster recovery capabilities		Disaster recovery (BCP/DR) options are specified.
High Availability System uptime guarantee		No information available
Multi-Entity Support Support for multiple legal entities within a single installation		Multi-entity/group support for complex bank structures is present.

Kamakura Risk Manager (KRM) from Kamakura Corporation (SAS)

Product analysis by function

Asset and Liability Management for Treasury

Balance Sheet Management (8 Yes /8 Known /10 Possible features)

Liquidity Risk Management (3 Yes /3 Known /10 Possible features)

Interest Rate Risk Management (6 Yes /6 Known /10 Possible features)

Market Risk Management (6 Yes /6 Known /10 Possible features)

Fund Transfer Pricing (2 Yes /2 Known /10 Possible features)

Profitability and Performance Management (2 Yes /2 Known /10 Possible features)

Capital Management (9 Yes /9 Known /10 Possible features)

Data Management and Analytics (6 Yes /6 Known /10 Possible features)

Compliance and Reporting (6 Yes /6 Known /10 Possible features)

System Architecture and Integration (8 Yes /8 Known /12 Possible features)