Architecture Group, these models have served the internal risk management needs of Citigroup's many business lines since 1990. The Citigroup models provide market-tested default risk analytics that subscribers to the Algorithmics credit model platform can use in analyzing borrower and counterparty credit quality, assigning internal ratings, and validating internal risk estimates and ratings performance. Algorithmics' risk measurement expertise and state-of-the-art technology deliver model content in
an efficient and easy-to-use manner and enable seamless integration with other
Algorithmics credit and capital management solutions.
The Algorithmics-Citigroup partnership will result in the broadest and deepest credit model solution available in the market covering both developed and developing economies in North and South America, Western, Central and Eastern Europe, the Middle East, Africa, Asia, and Japan. The Citigroup model suite includes the well-known Hybrid Probability of Default model for listed corporates and financial institutions, which uses both market and fundamental
financial data to quantify default risk. The suite also provides access to market-specific credit risk models, which use financial statement data to calculate probability of default and credit grades on both listed and unlisted
firms, and commercial banks.
"The Citigroup models are grounded in many years of research and active credit risk management experience and provide extensive coverage of credit markets internationally," said Michael Zerbs, President and Chief Operating Officer at Algorithmics. "Making available these market-tested credit models provides our clients with practical tools for enhancing their credit risk measurement and management systems. The alliance with Citigroup is an important part of Algorithmics' broader initiative to provide the market with leading credit risk and capital management offerings."
"Algorithmics' proven ability to develop thoughtful, user-friendly and sophisticated risk management software makes them an attractive partner," said
Jim Garnett, head of Citigroup's Risk Architecture Group. "We are impressed
with Algorithmics' customer-focused approach to risk management. Our partnership with Algorithmics provides the market with a unique offering that
meets the growing appetite for innovative, practitioner-developed credit risk
"This move no doubt responds to a relative lack of commercially available credit models in the market, and the strong need for more advances in this
space," said Debbie Williams, Group Vice President, Capital Markets and Risk
Management with Financial Insights, a financial technology research and advisory firm. "Banks need proven credit models backed by experience and strong data sets, both to use as primary sources of default prediction and to
benchmark their own internally-developed models against. This is now a key strategic advantage, and banks that do not use state of the art credit models
will find themselves at a distinct disadvantage, both from a pricing and
origination perspective, and a portfolio profitability perspective."