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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.
More about Kamakura Corporation (SAS)
Systems that help banks manage their balance sheet, including interest rate risk, liquidity risk, and capital adequacy.
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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. |
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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Automated Risk Mapping Automatically scans and maps risk exposures across portfolios and processes. |
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Scenario Analysis Engine Ability to define and run multiple risk scenarios to identify susceptibilities. |
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Data Import Integration Capacity to integrate data feeds from various internal and external sources for comprehensive risk identification. |
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Custom Risk Taxonomy Support for establishing custom risk categorizations tailored to the fund's unique exposures. |
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Early Warning Systems Notifies users of emerging risks based on thresholds and predictive analysis. |
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Risk Event Logging Enables the recording and tracking of risk incidents or near-misses. |
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Dynamic Risk Register Provides a centralized repository for all identified risks, updated in real-time. |
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External Event Integration Links external events/news to internal risk exposures. |
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Portfolio Stress Testing Ability to stress-test the portfolio for Black Swan or extreme events. |
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Automated Risk Association Automatically links identified risks to affected assets, processes, or business areas. |
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Value at Risk (VaR) Calculation Capability to compute VaR for assets, portfolios, and enterprise-level exposures. |
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Risk Scoring Assigns quantitative risk scores based on probability and impact. |
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Monte Carlo Simulation Supports stochastic simulations for risk analysis. |
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Risk Aggregation Aggregates risk exposures across different dimensions (e.g., asset class, geography). |
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Concentration Risk Metrics Calculates concentration risk by sector, counterparty, or instrument. |
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Sensitivity Analysis Evaluates portfolio sensitivity to key risk factors. |
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Counterparty Risk Measurement Measures the exposure to counterparties across positions. |
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Custom Risk Models Enables creation and deployment of proprietary risk measurement models. |
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Risk Heatmaps Visualizes risk assessments in heatmap format for fast comprehension. |
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Exposure Calculation Speed How quickly risk exposures are calculated in large portfolios. |
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Control Libraries Pre-built and customizable control libraries for operational and financial risks. |
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Action Tracking Enables users to assign, track, and monitor the status of risk mitigation plans. |
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Workflow Automation Automates the approval and escalation workflows for risk response actions. |
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Integrated Policy Management Connects controls to organizational policies for compliance assurance. |
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Mitigation Effectiveness Analysis Evaluates and reports the effectiveness of mitigation actions. |
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Remediation Alerts Sends notifications for overdue mitigation or control failures. |
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Audit Trail Maintains a searchable log of all mitigation actions and changes. |
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Third-Party Control Assignment Supports assignment of mitigation actions to external service providers. |
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Automated Control Testing Tools to automatically test and validate risk controls. |
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Number of Simultaneous Mitigation Plans How many mitigation plans can be concurrently tracked. |
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Real-Time Dashboards Interactive dashboards displaying live key risk indicators (KRIs). |
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Custom Report Builder Enables creation of bespoke reports drawing from any platform data points. |
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Automated Scheduled Reporting Supports regular, automated generation and distribution of risk reports. |
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Role-Based Access to Reports Report access and content customized by user role or permissions. |
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Drill-Down Capabilities Allows users to click through summary reports to detailed underlying data. |
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Alert Management System Configurable alerts via email, SMS, or app notification for critical events. |
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Graphical Risk Maps Geospatial mapping of risks for geographically distributed portfolios. |
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Presentation Export Options Exports reports in multiple formats, such as PDF, PowerPoint, Excel. |
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Visualization Load Speed How quickly large or complex visualizations load. |
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Number of Concurrent Report Users Number of users who can access and interact with reports at once. |
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API Access Provides extensive APIs for bidirectional data integration. |
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Data Import/Export Tools Bulk and scheduled importing/exporting of risk data in common formats (CSV, XML, JSON). |
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Pre-Built Connectors Ready-made connectors for common financial, actuarial, and CRM platforms. |
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Real-Time Data Sync Keeps data synchronized across core systems in near real-time. |
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Open Banking Integration Integration with open banking APIs for external data acquisition. |
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Cloud Storage Compatibility Works with major cloud storage services for data archiving. |
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Custom Integration Toolkit Toolkit for custom integrations where pre-built connectors don't exist. |
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Integration Latency Average time taken for data to move between systems. |
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Maximum Data Volume per Sync Maximum amount of data that can be transferred in each data synchronization batch. |
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External Data Source Support Number of distinct external data sources/platforms natively supported. |
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Role-Based Access Control Configurable access rights for users based on their organizational role. |
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Multi-Level Approval Workflows Supports sequential or parallel approvals for risk decisions or changes. |
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Policy & Procedure Tracking Tracks publication, acknowledgment, and compliance with policies. |
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Regulatory Compliance Templates Built-in templates for key regulations (IORP, Solvency II, etc.). |
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Audit Logging Comprehensive logs of all actions for compliance audits. |
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Exception Reporting Reports policy breaches or process exceptions automatically. |
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Delegation Management Controls for assigning and tracking temporary/standing delegations. |
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Workflow Customizability Ability to design custom workflows to reflect organizational structure. |
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Compliance Dashboard Dedicated dashboard to track compliance at-a-glance. |
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Number of Concurrent Approval Flows Maximum number of approval/review workflows running in parallel. |
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End-to-End Encryption Data encrypted during transmission and in storage. |
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Multifactor Authentication Strong user authentication via two-factor or multifactor methods. |
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Single Sign-On (SSO) Integration with corporate user directories for SSO access. |
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Data Masking Hides or anonymizes sensitive information in user interfaces/reports. |
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Cyber Threat Detection Monitors for and flags suspicious activities and breaches. |
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Granular Permissions Fine-grained control over who can view, edit, export, or share data. |
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Automatic Session Timeout Logs out idle sessions after configurable periods. |
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GDPR/Privacy Compliance Tools Facilitates compliance with GDPR and similar data privacy laws. |
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Encryption Key Management User-controlled key storage and rotation. |
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Security Patch Update Frequency How often security updates/patches are issued by the provider. |
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System Uptime Service availability for users. |
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Web Interface Response Time Average time to load or perform core workflows. |
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Max Concurrent Users How many users can work simultaneously without degradation. |
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Portfolio Capacity Maximum number of portfolios/accounts the system can manage. |
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Transaction Processing Speed Transactions that can be processed per second. |
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Real-Time Analytics Support Allows analytics and risk calculations to run in real time. |
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Scalable Cloud Architecture Can be deployed elastically to handle variable workloads. |
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Disaster Recovery Time Objective (RTO) Targeted recovery time after an outage or disaster. |
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Data Retention Period Maximum period transactional/risk data can be reliably stored. |
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Backup Frequency How often does the platform back up data. |
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Customizable User Interface UI layouts, dashboards, and widgets can be customized per user. |
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Accessibility Compliance Follows accessibility standards (WCAG, section 508). |
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Multilingual Support Available in multiple user interface languages. |
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In-Platform Guided Tutorials Contextual help and walkthroughs available in software. |
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Dedicated Support Portal 24/7 access to technical documentation and help. |
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User Community Forums Online user groups for peer-to-peer support. |
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On-Demand Training Materials Video, documentation, and e-training modules available. |
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Implementation Assist Personalized onboarding and system setup support. |
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Customization Time Estimated time to customize the platform for an enterprise client. |
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Mobile Accessibility Optimized and accessible for mobile/tablet devices. |
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Automated Regulatory Reporting Pre-built tools and templates for regulatory filings (e.g., IORP II, Solvency II). |
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Audit Trail for Regulatory Activities Complete record of regulatory activities and changes. |
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Change Management Logging System logs all configuration changes for auditability. |
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Version Control for Documents Enables audit of changes in key policy or regulatory documents. |
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Regulatory Update Alerts Auto-alerts for regulatory changes impacting pension funds. |
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Compliance Evidence Repository Central store for documents recording evidence of compliance. |
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External Audit Access Portal for external auditors to securely access required data. |
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Update Time for Regulatory Changes Time taken for new regulations to be reflected in system tools/templates. |
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Regulatory Frameworks Supported Number of regulatory frameworks natively supported. |
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Role-Based Compliance Reporting Generates reports tailored for various compliance stakeholders. |
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24/7 Customer Support Live assistance available at all times for critical queries. |
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Dedicated Account Manager A single point of contact for enterprise clients. |
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Regular System Updates Routine deployment of new features and fixes. |
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Service Level Agreements (SLA) Clearly defined uptime, response, and issue resolution commitments. |
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Incident Resolution Time Average time to resolve support incidents. |
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System Customization Support Provides tailoring of the platform for organization-specific needs. |
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Client User Group Meetings Organizes regular opportunities for client feedback. |
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Onsite/Remote Training Availability Direct training options for large organizational rollouts. |
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Average Upgrade Rollout Time Average time to deliver major system upgrades. |
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Knowledge Base Completeness Extent of up-to-date support, FAQ, and help documentation. |
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