Kamakura Corporation
| Company type | Subsidiary |
|---|---|
| Industry | Financial software |
| Founded | 1990 |
| Founder | Dr. Donald R. van Deventer |
| Headquarters | Honolulu , United States |
Area served | Worldwide |
Key people | Dr. Donald R. van Deventer (CEO and Chairman), Robert A. Jarrow (Director of Research) |
| Products | Kamakura Risk Manager (KRM), Kamakura Risk Information Services (KRIS) |
| Parent | SAS Institute |
| Website | www |
Kamakura Corporation operates as an international financial software provider headquartered in Honolulu, Hawaii, focusing on delivering advanced risk management solutions tailored for banking, insurance, and investment industries.
Established in 1990 by Dr. Donald R. van Deventer, who serves as CEO and Chairman, Kamakura had, by 2019, supported more than 330 clients spanning 47 nations. A key figure in the company’s research leadership is Cornell professor Robert A. Jarrow, renowned for co-developing influential credit risk frameworks including the Heath–Jarrow–Morton model and the Jarrow–Turnbull model.
In June 2022, Kamakura became part of SAS Institute through acquisition, aiming to drive forward innovation in risk technology amid fluctuating conditions in the financial sector.
History
Kamakura was founded in Tokyo in 1990 and introduced its premier software, Kamakura Risk Manager (KRM), to the market in 1993. This product was groundbreaking as the first credit risk model to integrate random interest rates alongside stochastic term structure valuation. Robert A. Jarrow joined the team as Director of Research two years later, in 1995. By 1996, KRM had incorporated the pioneering closed-form valuation model for non-maturity deposits, which was adopted by TD Bank that same year.
Following its move to Honolulu to benefit from local R&D incentives, Kamakura broadened its product suite: the Jarrow-Lando-Turnbull Markov credit term structure model gained adoption in 1997; stochastic multi-period net income simulation capabilities were added in 1998; and by 2000, the company had implemented the first reduced form credit risk model. Kamakura distinguished itself as the first provider to integrate both credit and market risk within a single platform.
In 2002, Kamakura launched KRIS, a service offering default probability data on 20,000 publicly traded companies. The firm achieved its initial Basel II implementation in 2003, securing prominent clients such as MetLife and Ontario Teachers' Pension Plan. Further developments included pair-wise default correlation features introduced in 2004, Implied Ratings and CDS Spread analytics in 2006, and the KRIS-CDO module released in 2007.
Between 2008 and 2009, Kamakura received top placements in Risk magazine’s Technology surveys for its asset/liability management and liquidity risk products. In 2008, it debuted a sovereign default probability service compliant with Basel II standards. The U.S. Office of the Comptroller of the Currency adopted KRIS models starting in 2009. More recent customers include Hong Leong Finance (2017). The company was honored within the World Finance 100 rankings for two consecutive years and launched version 10 of KRM in March 2018.
Products and services
Kamakura’s portfolio centers on two principal offerings. Kamakura Risk Manager (KRM) is a comprehensive enterprise risk management platform addressing credit risk—including IFRS 9 and CECL compliance—market risk, asset liability management, Basel II and III adherence, capital allocation strategies, transfer pricing mechanisms, and performance evaluation. Kamakura Risk Information Services (KRIS) functions as a risk data portal providing quantitative credit risk metrics such as default probabilities, bond spreads, implied credit spreads, and ratings across corporate, sovereign, and banking counterparties. It also supports portfolio stress testing through Macro Factor Sensitivities and Portfolio Management functionalities. Additionally, Kamakura publishes the Troubled Company Index which monitors the share of approximately 39,000 publicly listed companies across 76 countries exhibiting an annualized one-month default risk exceeding one percent. In January 2018, the firm introduced its Troubled Bank Index.
Awards
- 2018: Designated as a Category Leader in Credit by Chartis Research in the report "Technology Solutions for Credit Risk 2.0"
- Featured in the World Finance 100 list for the years 2017, 2016, and 2012
- Credit Technology Innovation Awards 2010: Thomson Reuters honored for the Kamakura default probability service
- Credit Technology Innovation Awards 2010: Fiserv recognized for the Kamakura Risk Manager
Publications
- Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, Second Edition, Wiley & Sons, 2013
- Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management, First Edition, Wiley & Sons, 2005
- Asset and Liability Management: A Synthesis of New Methodologies, RISK Books, 1998
- Financial Risk Analytics: A Term Structure Model Approach for Banking, Insurance & Investment Management, IRWIN Professional Publishing, 1997
- Risk Management in Banking: The Theory & Application of Asset & Liability Management, McGraw-Hill, 1993