Michael Zerbs, President and COO, Algorithmics, commented: "Algorithmics is honored to win the Risk Software Product of the Year Award 2009 for Algo Real-Time Credit Engine. Winning this award from such a respected risk publication means a great deal to us â as it is recognition of the quality and innovation of not only this product but of Algorithmicsâ commitment to continuing innovation in risk management for our clients.â
Algo Real-Time Credit Engine is designed to provide a real-time view of the credit and settlement exposure of a bankâs counterparties using the gold standard of exposure measurement â full multi-step Monte Carlo accounting for portfolio diversification, netting, and collateral. It delivers scalable, real-time pre-deal checking, intraday reporting on the credit status of a counterparty, and real-time feeds to trading desks. This means that global institutions now have an opportunity to cost-effectively perform full risk simulations for their largest counterparties in minutes instead of hours and pre-deal, what-if profiles for vanilla and exotic derivatives at the transaction, portfolio and counterparty levels can be completed in milli- or sub-seconds.*
Risk Magazine has recognized Algo Real-Time Credit Engine for introducing consistent risk management to the front and middle office and for the speed of its risk calculations. The productâs performance has also been benchmarked recently in conjunction with Intel, achieving 1 million trades, 5,000 scenarios, 125 time steps in less than 2 hours on a single dual-CPU server based on IntelÂ® processors.
In Risk Magazineâs view, âA system like Algo Real Time Credit Engine, with its sub-second counterparty credit exposure calculation capabilities, is timely in an era where regulators have made it clear they expect banks to be able to calculate their exposure to a counterparty in a couple of hours, and it sets a new benchmark for the speed of risk measurement in the front office.â
Neil Bartlett, CTO, Algorithmics, added: âReceiving the Software Product of the Year accolade for our award-winning real-time performance is the culmination of four yearsâ work developing this innovative product. For our clients, the commercial impact of our breakthrough improvements in computational performance promise to be twofold: lower capital and operating costs and, for the first time, very sophisticated risk assessment available real-time and pre-deal.â
Dr Michael Zerbs concluded: âWe will continue our commitment to innovation and R&D, something for which we, together with our clients, have won several prestigious awards over the last 12 months. The Algo Real-Time Credit Engine is a great example of an innovative solution that has been developed in a strong and ongoing partnership with clients. We are proud that our partnerships with our clients often go far beyond the initial implementation to ensure their risk management solutions provide tangible business benefits and evolve with their business needs and challenges.â
Algorithmics was recently recognized for enterprise-wide risk management across all risk types in Risk Magazineâs 2008 Risk Technology Rankings, receiving more first places in the risk categories than any other vendor.