KRIS-CDO allows users of the Kamakura Risk Information Services (KRIS) default probability service to seamlessly analyze synthetic CDOs under a wide range of valuation techniques. Using KRIS-CDO, users can set up and initiate a valuation run on a portfolio of synthetic CDO tranches in a matter of minutes. Valuations run on a series of servers, including an 8-processor IBM blade server, based on a secure facility shared with the US Department of Defense and several major multinational corporations.
Warren Sherman, president and chief operating officer of Kamakura, said: The credit crisis of August and September has shown how critical it is to have a valuation capability that is independent of the major rating agencies and Wall Street firms. This is especially true when market liquidity shrinks. We’ve been gratified by advice of many leading market participants that has led both to the enhancements in KRIS-CDO version 2.0 and the insights in Dr van Deventer’s paper. We believe greater transparency in CDO analytics is essential to best practice corporate governance and risk management.
