~~~~ “Kamakura Corporation announced Thursday that it has dramatically expanded the ability of the Kamakura Risk Manager enterprise risk system to calculate and display the risks of each transaction on the balance sheets of major financial institutions.
The enhanced transfer pricing capabilities in Kamakura Risk Manager Version 7.0 allow major financial institutions and corporations to parse the incremental risk of each asset and liability on the balance sheet into liquidity risk, credit risk, and interest rate risk components and simulate it forward in a realistic way.
KRM Version 7.0 provides 8 different user choices for assigning matched maturity credits and costs of funds so that the Board of Directors, senior management, internal audit departments, and day to day risk managers have complete “drill down” capability that shows how the total risk of an organization has been created from the transaction level up.
“Bloomberg reported in a story on October 7 that Bear Stearns was operating with near zero visibility of its risk positions, both in terms of the amount of risk and its sources,” said Warren Sherman, Kamakura President and Chief Operating Officer.
“Similarly, Merrill Lynch and UBS both admitted that their Boards did not have appropriate visibility on the home price risk of those institutions, allowing the exposure to grow too large and making appropriate hedging a shot in the dark.
Modern transfer pricing technology like that embedded in KRM version 7.0 eliminates the fog around risk positions to give perfect visibility to the total risk of the institution, both in aggregate and at the transaction level.”
“In 1973, Wm. Mack Terry and his colleagues at the Bank of America in San Francisco introduced the world’s first matched maturity transfer pricing system,” added Dr. Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer.
“Over the last 35 years, the concept has been increasingly refined and modified to incorporate the best practice calculations embedded in KRM Version 7.0.
Best practice transfer pricing calculations would have made it clear that neither Bear Stearns nor Lehman Brothers had more than a marginal chance of survival when funding 30 year sub-prime mortgage loans with thirty day borrowings.
Board members can and should demand clarity of disclosure on the total risk of an institution and the contribution of each business unit and transaction to total risk. This capability is available now, and Kamakura has been gratified that so many institutions have reached out to Kamakura for best practice risk analytics during the current crisis.”~~~~
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Lewtan Technologies Expands Credit Surveillance Group
20 October 2008
Lewtan Technologies, Inc., the industry’s leading source for asset-backed securities surveillance data, analytics, software, and content for the global securitisation industry, today announced the expansion of a recently formed business unit of credit surveillance experts.
The Credit Surveillance and Data Analysis team is headed by Brad McNamee, vice president of modeling and business analytics. “This team emphasizes the commitment that Lewtan has made over the past several years to improve the quality, timeliness and accuracy of the data that is the underlying pillar of our products and services,” said Mr. McNamee. “Now that Lewtan has reached its target of providing the largest set of asset and mortgage-backed data available anywhere in the industry within 48 hours of its availability, we felt that it was important to couple the data with deep industry expertise.”
During the recent credit crisis and market upheaval, Lewtan’s ABSNet data has served Lewtan’s clients in many ways beyond the surveillance of credit risk. The combination of performance data, powerful analytics and a wealth of related asset-backed securities information provide the needed scrutiny and controls to reduce risks associated with structured finance activities.
In addition to the expansion of the Credit Surveillance team, ABSNet’s data is now available in bulk download format. This service provides customers an independent verification mechanism to identify outliers in third party ratings and evaluated prices. Such independent mark-to-market is required under FAS157 and is now more critical than ever as firms look to identify good trading opportunities in distressed debt or to value their holdings. “During these turbulent times, customers look to their partners to offer them products and services, as well as education and expertise.
The combination of this team and the expansion of Lewtan’s products and services are simply a reflection of the depth and breadth of Lewtan’s industry expertise. We remain committed to serving the surveillance and transparency needs of the industry and seek to continually provide our customers with world-class products and services,” said Ned Myers, CMO and vice president of product strategy.
http://www.bobsguide.com//guide/news/2008/Oct/20/Lewtan_Technologies_Expands_Credit_Surveillance_Group.html
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