Intesa Sanpaolo adopts credit capital management for banks solution for incremental default risk charge calculations

Toronto, Canada and London, UK – 19 September 2007

Algorithmics today announced that Intesa Sanpaolo, a leading financial institution in Italy, has implemented the Algorithmics’ solution for credit regulatory capital management to calculate the incremental default risk charge (IDRC), a key element of the specific risk charge under Pillar 1 of Basel II.

Paolo Sironi, Head of Counterparty Credit Risk at Intesa Sanpaolo said, ‘We already use Algorithmics to assess spread risk in our fixed income portfolios. We see this as a logical extension of our existing system for estimating, communicating and controlling risks. We incorporate the results for economic capital purposes, and plan to include them in our regulatory compliance programme at the appropriate time. Algo Credit Economic Capital provides us with unique features helping to assess the event risk associated with a comprehensive portfolio of fixed income, default swaps and CDO positions, thereby producing a coherent measure for the incremental default risk charge.

‘With Algorithmics’ sophisticated and proven risk solutions, we are able to access best-practice techniques to help us achieve compliance in a manner that can be leveraged for management purposes. We appreciate the advanced options, scalability and integrated aspects of the product.’

Ben De Prisco, Head of Capital Analytics at Algorithmics, said, ‘Intesa Sanpaolo has been a long-term development partner and user of Algorithmics’ solutions. We’re pleased to have extended our relationship to assist them in addressing this important aspect of risk..

‘Intesa Sanpaolo is looking to take advantage of many unique aspects of Algo Credit Economic Capital, as it relates to the IDRC, including its ability to comprehensively handle the myriad of trading book products subject to an incremental default charge. The comprehensiveness of the solution not only allows our clients to support regulatory compliance, but also extends the scope to fully integrated risk management and monitoring, planning and budgeting.’

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