A recent agreement with an international risk management firm will add significant capabilities, including derivatives and options analysis, to a profitability analysis system offered by Treasury Services Corp., Santa Monica, Calif.

Treasury Services will work with Kamakura Corp., a risk management firm with offices in Japan and the United States, to offer the analytical programs as an option to its Treasury Services Evaluation and Reporting (TSER) profitability management system.

Various Techniques

The analytics developed by Kamakura value a number of instruments, including derivatives, fixed-rate deposits, and mortgage-backed securities, using a proprietary yield curve analysis, embedded options analytics, and Monte Carlo simulation techniques.

Kamakura's analytical functions will be available as optional additions to the four modules of the TSER system beginning next year.

The two companies also will collaborate in joint consulting services for interest-rate risk management, exchange-rate risk management, and transfer pricing.

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