done in late 2011 to enhance the VaR support, particularly for ‘dynamic VaR’ as opposed to the traditional static model. For funds transfer pricing, KRM provides full option-


adjusted transfer pricing with arbitrary degrees of consumer ‘rationality’ on a multi-currency basis. KRM supports multiple transfer pricing centres and both ‘ALCO’ and ‘irrationality’ books for the part of the organisation that takes the risk of consumer option exercise. It also allows for a ‘credit risk’ book that is consistent with the default probabilities and credit- adjusted valuations generated by KRM’s credit risk module. Specific modules offered within KRM include KRM-cr for


credit risk, KRM-var for option-adjusted VaR, KRM-mv for option-adjusted market valuation, KRM-ni for stochastic net income simulation, KRM-dc for non-maturity deposit and credit card valuation, KRM-yc for yield curve smoothing, and KRM-tp for funds transfer pricing. From a technical perspective, KRM supports a range of


databases including Oracle, SQL, and DB2; it can run on a range of platforms including Windows, Unix and Linux. The core is mostly written in Visual C++, with Java. There is a report- writer within the system but it also supports the likes of IBM’s Cognos, Hyperion, Business Objects or Crystal Reports.


Partnerships and direct activities


As mentioned, the longest running and most fruitful partnership has been with Fiserv. The partner brought a global presence and has solutions in the areas of payments, processing services, core banking (including the long- standing IBM iSeries-based ICBS, now branded as Signature), customer and channel management, business intelligence, and risk and compliance. The latter was delivered through its Risk and Performance Solutions division, IPS-Sendero (which survived with its own brand until a restructuring and rebranding in 2008). Fiserv’s Risk and Performance Solutions division is based in Atlanta, Georgia, with other offices in Arizona, London and Singapore. There are also representative offices in Australia, Germany, Italy and Poland. In 2010, Fiserv announced a partnership under which


Appreus would provide sales and project delivery support for KRM in Russia. This country was a strong one for KRM, with around eight users by late 2011. Fiserv also established a tie- up with Know-How Technologies for the Malaysian market. There are also examples of Fiserv hosting KRM for clients, as occurred with Federal Savings Bank in 2008. The bank was a new venture in the US from Banco do Brasil and selected the enterprise risk management offering as well as a range of other solutions. The entire suite was to be outsourced and housed at Fiserv’s Connecticut data centre. There has been a long-running partnership (from the


end of the 1990s) between Kamakura and India-based Zylog Systems (Fiserv was not active in the country). This continues


Kamakura seeks to maintain a single version of the system.


Where customers request functionality changes, these will usually then go into the standard release (as happened at China Construction Bank Asia – see below). Kamakura Corporation reported in September 2015, that the newest generation of Kamakura public firm default models has been released to central banks, regulatory agencies, banks, insurance firms, fund managers and government clients world-wide. The newest generation models, the Kamakura Risk Information Services (“KRIS”) version 6.0 models, include the state of the art Jarrow-Chava reduced form model, a modern implementation of the Merton model, and a Jarrow-Merton hybrid model in the reduced form model framework. The KRIS service also includes a wide array of other default probability models that can be seamlessly loaded into Kamakura’s state of the art enterprise risk management software engine Kamakura Risk Manager. Models available include the non-public firm default model, the commercial real estate model, the U.S. bank model, and the sovereign model. A KRIS Macro Factor Scenario Service subscription includes both risk neutral and “real world” empirical scenarios for interest rates and macro factors.


to this day and was extended to South-East Asia in mid-2008. Zylog’s activities include onshore and offshore development. Unisys has also been a partner, with some influence in South Korea and Japan. Both Kamakura and Fiserv claimed that there was no


breakdown in their relationship. Nevertheless, there was the strange episode of the Krung Thai Bank announcement. The bank selected and implemented KRM; Fiserv put out a press release to this effect in early October 2011. However, that release made no mention of Kamakura. Kamakura then put out its own release about the project and this made no mention of Fiserv. Indeed, in the description of Kamakura, the company said: ‘Kamakura has worldwide distribution alliances with Sumisho Computer Systems, Unisys, and Zylog Systems making Kamakura products available in almost every major city around the globe’. A spokesperson for Fiserv said there were ‘currently no changes to our relationship with Kamakura’. However, the view from Kamakura was that the relationship had been reduced to cover only Asia, with the change coming in September. In part, Kamakura’s recent direct efforts stemmed from recruiting some of Fiserv’s KRM team. This happened in EMEA, with those moving across including Suresh Sankaran, who took up the role of head of EMEA. Ex-ABN Amro and HSBC, he said the relationship with his old company remained but had been ‘recalibrated’ from a geographical perspective to Asia. The shift did not preclude future collaboration elsewhere, he said, and the change had been amicable.


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