At its core, DTS allows users to simulate their portfolios through time in a realistic and flexible fashion by establishing rules for how the portfolio should be reinvested, rebalanced and/or liquidated over the same period. This patent recognizes the uniqueness of Algorithmicsâ DTS technology, which is differentiated by the range and sophistication of rules it allows.
The patented technology is currently in use by many Algorithmics clients worldwide. ALM practitioners rely on DTS to model the forward evolution of the balance sheet including the modeling of new business, strategic re-investments and balance sheet funding requirements. DTS also enables firms to implement recent industry recommendations and regulatory guidelines for sound liquidity risk management. Asset managers use DTS to assess the impact of various investment plans and strategies over time. Market risk managers model the purchase and sale of securities in the trading book in DTS and also calculate liquidity-adjusted Value-at-Risk figures.
Ben De Prisco, Senior Vice President of Research and Financial Engineering at Algorithmics said: âAt a time when liquidity risk for trading books and funding risk for financial institution balance sheets are centre stage, this patented and proven technology provides institutions with a unique competitive advantage. Current market conditions demand flexible, accurate and efficient risk management tools that enable institutions to model their risks in the context of todayâs restrictive liquidity and funding environment. Algorithmicsâ DTS technology allows them to do that and more.â
Michael Zerbs, President and COO, Algorithmics, added: âThis patent further demonstrates Algorithmicsâ commitment to product innovation and its leadership as a risk solutions provider. Our patented DTS technology, which underpins several of our risk solutions, is the right dynamic risk management framework for current market conditions. We will continue to invest in cutting-edge research to ensure we provide risk solutions that help our clients make more informed, risk-aware business decisions.â