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Kamakura has learned lessons from the Asian crisis, and is responding with a credit risk tool.
Daewoo Securities, the largest securities firm in Korea, will be the first site to install Kamakura's new Kamakura Risk Manager-Credit Risk (KRM-cr) module. The KRM-cr module is based on the Jarrow models developed by Kamakura's director of research, Robert Jarrow, for credit risk modeling. The latest addition to the KRM suite of risk modules incorporates random interest rates, liquidity effects and default modeling for comprehensive credit risk management, says Don van Deventer, president of Kamakura.
"Daewoo is certainly sensitive to the importance of credit risk and to the lessons of the Asian crisis," says...