Algorithmics to Design and Present Counterparty Credit Risk Modeling Course for ISDA Membership

Toronto, Canada - April 11, 2006 - Algorithmics today announced that it has been selected by the International Swaps and Derivatives Association, Inc. (ISDA(r)), the largest global financial trade association representing participants in the privately negotiated derivatives industry, to present a counterparty credit risk modeling course. The first offering of the course will be in London on June 7, 2006.

"In response to the recent rules that the Basel Committee and IOSCO have developed for the treatment of counterparty credit risk (CCR), we are designing a course that explores the measurement concepts and rules, in particular the modeling of expected positive exposure (EPE), stress testing, and computation of the alpha factor," said Diane Reynolds, Director, Economic Capital Solutions at Algorithmics and tutor of the course. "The course will further attendees' understanding of the modeling and risk measurement concepts underpinning the rules of the Basel II counterparty credit risk framework, and consequently, how capital charges are assigned against their business."

Targeted at credit and market risk managers, as well as Basel II teams at banks, investment firms and commodity firms, the course will provide participants with a broad understanding of the trading book review "EPE" or Strand 1 proposals, including the Internal Model Method; a toolkit to evaluate how the different Basel II approaches to measuring counterparty risk impact the institution's capital charges; strategies for complying with the requirements; an appreciation of the benefits of integrating Basel II calculations with best practice internal risk management; and hands on experience with calculation of EPE for a variety of transaction types.

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