Danske Bank Completes First Phase of Economic Capital Project with Algorithmics

Toronto, Canada – 20 March 2007

Algorithmics today announced that Danske Bank, the largest bank in Denmark and one of the 100 largest banks in the world, has completed the first phase of an economic capital project that will help the bank meet the Pillar 2 requirements of the Basel accord. This is the latest in a series of Algorithmics implementations at Danske, which include market risk, collateral management, exposure calculation, and limits management projects.

“Algorithmics is pleased to partner with clients who, like Danske Bank, strive to achieve an integrated risk platform for consistently measuring and managing risk,” said Michael Zerbs, President and COO at Algorithmics. “Economic capital is a fundamental concept at Danske Bank and we look forward to the remaining phases of our partnership.”

“Danske Bank uses economic capital to manage its business,” commented Erik Frandsen, First Vice President at Danske Bank. “Having a risk-sensitive measure tied to other key elements of our risk infrastructure, such as exposure management and Basel II data warehouse, will improve the information quality and hence our decisions based on this information.”

Erik Frandsen continued: “Another reason we chose Algorithmics was their ability to accommodate the advanced stress testing that we wanted to perform. We can stress test a number of elements including all key drivers of portfolio credit risk. This facilitates internal and regulatory discussions on how much capital to hold in excess of the Pillar I regulatory capital requirement.”

“The ability of Algo Credit Economic Capital to include both an internally-developed, proprietary correlation model and a full simulation of trading book exposures was key for Danske Bank in deriving risk-based measures of economic capital,” added Diane Reynolds, Director of Economic Capital Solutions for Algorithmics.

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