Korea's Daishin Securities contracts Kamakura for market risk

The Hawaii-based risk management information, processing and software specialist will provide Daishin, one of the region’s online securities trading pioneers, with its KRM-var application to support its brokerage, dealing and underwriting business.

The system includes variance-covariance value-at-risk (VAR), historical VAR and option and credit-adjusted simulation-driven VAR analytical methods.

Unisys Korea, a subsidiary of the Pennsylvania-based IT firm, is acting as the project’s systems integrator. The timing on the project is unclear.

“Ninety percent of our installations are complete within three to six months, although we occasionally have faster and slower ones,” Kamakura chief executive Don van Deventer told RiskNews. “A slower installation is either due to incremental development that is part of our initial contract or organisational changes on the client side.”

According to van Deventer, Daishin was interested specifically in the market risk aspects of KRM-var. He added that credit functionality, net income simulation for asset and liability management, and performance measurement capability could be added to the initial installation in a matter of hours.

Commonwealth Bank of Australia, through its technology partner EDS Australia, licensed Kamakura risk manager (KRM) transfer pricing suite on March 20. Other Kamakura clients in Asia include National Australia Bank, Fuji Bank and Bank of Tokyo-Mitsubishi.

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