Needs of Emerging Credit Risk Market Met With Algo Credit - BIS II Module; Latest in BIS II-Ready Solutions

TORONTO, Nov. 29 /CNW/ - Algorithmics Incorporated, a leader in
enterprise risk management, today announced that it is working with key
clients to create an enhanced Algo Suite, which meets the specific data
architecture, data modeling and technology requirements required under the
evolving BIS II guidelines. "Financial institutions are interpreting BIS II in
a holistic manner, going beyond the basics of regulatory capital compliance to
seize the opportunity to implement 'best practice' risk management processes
such as global limits management, collateral and credit portfolio management,
within an integrated risk architecture that accommodates change. The Accord
is, essentially, aligned with our 'bank of the future' strategy, wherein one
core risk engine supports many business lines, delivering a consistent
approach to all risk categories as mandated by BIS II," said Michael Zerbs,
VP, Research & Product Marketing, Algorithmics.

The Algo Credit - BIS II Module is scheduled for delivery in the first
half of 2002. It will collect, map and store the inputs required to drive BIS
II credit capital measures and provide calculations for all of the BIS II
regulatory credit capital approaches; standardized, foundation and advanced
Internal Rating Based (IRB). As such, it will be the first full solution to
support the standard, foundation and advanced regulatory approaches as well as
economic capital approaches, allowing institutions to compare their risk and
reward across business lines.

The solution includes a straightforward extension of the existing Algo
Suite enterprise risk management (ERM) data model that today supports trading
and banking book transactions (including retail ones), credit mitigants
(including collateral) and credit derivatives, as well as counterparty
structures and associated probabilities of default.

The Algo Credit - BIS II Module can be used in conjunction with Algo
Collateral (Sentry) to provide a comprehensive solution to meet the minimum
operational requirements for collateral that are outlined in BIS II. These
include system requirements for tracking the status and location of collateral
and managing concentration and roll-off risks.

With the Algo Credit - BIS II Module, financial institutions will be able to:

- Calculate regulatory capital according to standardized approach,
foundation IRB approach, and/or advanced IRB approach
- Achieve true enterprise coverage across the trading book and banking
book, including retail exposures
- Support credit mitigation (collateral, guarantees, credit derivatives,
etc.)
- Support granularity adjustment
- Interface to bank and vendor supplied systems that provide PD's,
LGD's, and haircuts
- Interface to bank transaction and exposure systems
- Produce BIS - II regulatory reports and management reports
- Estimate collateral haircuts with Algorithmics' advanced risk
analytics
- Estimate potential future exposures using Algorithmics' Mark-to-Future
simulation framework, which fully captures netting, future collateral
calls and scenario consistency
- Compute economic credit capital with the Algo Portfolio Credit Engine
(PCRE) component of Algo Credit
- Optionally meet BIS - II operational requirements for collateral
management through Algorithmics' Algo Collateral (Sentry) solution.


Algo Credit - BIS II Module is Latest in BIS II-Ready Solutions from
Algorithmics

In keeping with the BIS emphasis on an open risk framework that supports
the implementation of best practice risk management for the entire bank and
across many risk categories. Algorithmics offers a number of solutions
specific to functional risk areas, which are at the same time integrated
through the Mark-to-Future framework and a common data infrastructure to
address key BIS II requirements. Other solutions in the family include Algo
OpRisk, Algo ALM, Algo Limits and Algo Market. Clients using or installing
these solutions are well positioned for BIS II approval, given the focus on
compliance as well as improved business productivity that these solutions
bring to the market.

"A key advantage of all of our solutions is that the BIS-II engine, as
well as other, existing analytical components in Algo Suite, sit on top of a
common data infrastructure. For existing Algo Suite clients this means that
much of the data integration effort to support market, credit, limits, and ALM
projects now underway can be easily leveraged in BIS II-compliance projects.
Similarly, new clients choosing Algo Credit - BIS II Module will find that the
data integration work undertaken to implement Algo Suite can be leveraged for
all manner of market, aggregated credit exposure management, limit management
and ALM projects," said Zerbs.

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