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March 3, 2009

Kamakura expands KOPS program

Kamakura on-line processing service program includes government mandated capital stress tests for financial institutions

By CBR Staff Writer

Kamakura, a provider of risk management software, has expanded its KOPS program to include government mandated capital stress tests for financial institutions in the US and other countries.

According to the company, the newly expanded Kamakura on-line processing service (KOPS) program includes stress tests of capital values, asset values, deposit volumes, and profitability with respect to macro factors like home prices, unemployment rates, foreign exchange rates, stock indices, and gross domestic product.

Kamakura said that the expanded KOPS valuation service makes use of the macro-factor sensitivity of default probabilities and credit spreads for the full range of counterparties, from retail borrowers to small business, public companies, and sovereigns. The expanded KOPS processing uses both client-specified default models and standard Kamakura default models in which macroeconomic variables drive default probabilities, credit spreads, collateral values, and recovery rates.

The expanded KOPS service makes use of the Kamakura Risk Manager enterprise-wide risk management system, which is able to stress test the movements of macro factors at transaction level for all transactions on the balance sheet, or any subset of those transactions, for a financial institution, corporation, or government related financial services organization, the company said.

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