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Dempster, Jarrow, and van Deventer


Dempster, Cambridge Systems Associates Limited, here. Dempster has an interesting set of slides Dynamic Stochastic Programming for Asset Liability Management

Stochastics™ is CSA’s generic modular software with years of research embedded in its design and international patents granted and pending. It is a modelling environment in which scenario-based problems under uncertainty can be formulated and solved on PCs, servers or the cloud

The Stochastics™ suite of risk modules provides value-added decision support and analytics for strategic, tactical and operational management as well as for research. In addition, Stochastics’™ advanced reporting facilities can serve as input to back-office operations such as performance measurement, investment accounting and compliance, amongst others

Stochastics™ generates elegant and rapid solutions to complex problems. The solution process consists of four steps:

Processes representing a client’s environment and changing financial markets are simulated in StochSim™
The practical problem is formulated using our stochastic modelling language and dynamic stochastic problem generator StochGen™
The stochastic problem is passed to StochOpt™ for solution
The results and data are viewed in user-friendly interfaces using StochView™
Stochastics™ uniquely allows easy rapid modification when modelling requirements or the regulatory environment change

Jarrow and van Deventer, Kamakura Corp., here. Risk Management for the most part but good information on Transfer Pricing, CCAR Reporting, and ALM, Liquidity, and Rates risk. van Deventer runs a blog, here. I do not think Kamakura sees themselves as straight ALM  Optimization in the Banking book. They do a lot of risk-neutral pricing and risk management mostly on the Trading book but spend some effort on the risk in the Banking book. I like the van Deventer pitch for multi factor models like their 15 factor US Treasury Yield simulation. the fact that Morton used to just runs one factor HJM  must just kill them. Now I think Morton’s guys just run straight LMM.

Kamakura offers integrated risk solutions in a single piece of software, among them are:

CCAR and DFAST Reporting
Stress Testing
Basel II
Basel III
Credit risk – CVA/DVA
Market risk
Operational risk
Asset Liability Management,
Liquidity & Interest Rate risk
IFRS 9 / IFRS 13 / IAS / FAS compliance
Hedge Accounting risk
Default Probabilities
Portfolio Modeling
Transfer Pricing


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