Kamakura Releases Major Upgrade of Kamakura Risk Manager to Clients World-wide: Research Director Prof. Robert Jarrow Testifies Before Congress

May 13, 2010

NEW YORK, May 13, 2010:  Kamakura Corporation announced Thursday that a major upgrade of Kamakura Risk Manager has been shipped to clients in the Americas, Europe, the Middle East, Africa and Asia.  The new release, KRM version 7.1.2, has three very significant enhancements. From the new release onward, Kamakura Risk Manager can now use the IBM DB2 relational data base management system in addition to data bases from Oracle, Microsoft and others.  For more on the DB2 data base, see http://www-01.ibm.com/software/data/db2/.

The new KRM version also addresses one of the major issues contributing to the 2007-2010 credit crisis-the over used assumption of the normal distribution in risk management.  The new KRM version allows the user to supply literally any probability distribution for a risk factor that drives valuations, in addition to 8 other probability distributions already available in KRM.  These user-defined distributions are loaded into KRM via data base table entries, and they can be used in the full range of KRM's credit risk, market risk, liquidity risk, and asset and liability management calculations. The new Kamakura Risk Manager version also has a full implementation of the Islamic (Hijri) calendar as announced by Kamakura in this January 27, 2010 press release: http://www.kamakuraco.com/PressReleaseJanuary272010.aspx.

In a separate item, Kamakura announced that Managing Director Robert A. Jarrow, Professor at Cornell's Johnson School of Business, testified before Congress on May 11 regarding the valuation of warrants issued under the U.S. Treasury's Troubled Asset Relief Program (TARP). Professor Jarrow's full written testimony and a video of his comments are now available at www.kamakuraco.com under "news."

Kamakura's President Warren A. Sherman said this Thursday about the new KRM version, "This new release of Kamakura Risk Manager has been driven by KRM's world-wide user base.  The DB2 capabilities have been driven by the massive data base needs of our large clients in China. The superb mathematicians using KRM for risk management in Moscow have been at the forefront of demand for user-defined probability distributions. Finally, the very talented risk professionals in our Middle Eastern client base led us to project the Islamic calendar farther into the future than official projections have yet gone. We are grateful for these insights and to their contribution to Kamakura's number 1 rankings in the RISK Technology 2009 rankings for asset and liability management and liquidity risk management."

In addition to the three major development items listed above, the new release of KRM adds a number of important new features:

• Kamakura's multiperiod simulation now provides for the liquidation of collateral at then-current market values in the event of default by a collateralized loan or security of any type
• The new KRM version enhances the reporting and analysis of futures positions in both value at risk and multiperiod monte carlo simulations
• The new version of KRM adds a considerable amount of flexibility to the transfer pricing of assets and liabilities on a transaction level basis and expands the ability to do duration-based transfer pricing
• KRM version 7.1.2 also provides for enhanced GAAP accounting for bonds and swap transactions that have compounding interest features
• The new version allows the use of remaining life as an input to formulas driving variable interest rates on a wide range of assets and liabilities
• Version 7.1.2 of KRM provides for advanced GAAP accounting for equities in forward looking monte carlo simulations
• Version 7.1.2 adds accounting for foreign exchange gains and losses in accordance with International Accounting Standard 21, paragraphs 55-57, to forward looking simulations
• The new version has enhanced fair value reporting for derivatives that are not used as hedges in accordance with International Accounting Standard 39 and Financial Accounting Standard 133.
• The new version allows equity-linked swaps and compounding swaps to be analyzed both with and without principal exchange at maturity.
For the full list of enhancements in version 7.1.2 of Kamakura Risk Manager, please contact Kamakura at [email protected]. For real time risk commentary by Kamakura on a daily basis, see www.twitter.com/dvandeventer.

About Kamakura Corporation

Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura, along with its distributor Fiserv, was ranked number one in asset and liability management analysis and liquidity risk analysis in the RISK Technology Rankings in 2009. Kamakura Risk Manager, first sold commercially in 1993 and now in version 7.1.2, was also named in the top five for market risk assessment, Basel II capital calculations, and for "risk dashboard." Kamakura was also ranked in the RISK Technology Rankings 2008 as one of the world's top 3 risk information providers for its KRIS default probability service.  The KRIS public firm default service was launched in 2002, and the KRIS sovereign default service, the world's first, was launched in 2008. Kamakura has served more than 200 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 32 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv, Unisys, and Zylog Systems making Kamakura products available in almost every major city around the globe.

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