Toronto-based Algorithmics has launched a new version of Algo Risk, its integrated risk management application developed in partnership with Bloomberg and delivered over the market data vendor's Professional service.
Algo Risk is available to users of Bloomberg's trade and portfolio management order systems and integrates Algorithmic's Mark-to-Future framework with Bloomberg's market and securities data.
The new version provides fixed income managers and traders with improved risk measurement functions from expanded key rate duration and key spread duration reports, allowing them to isolate and quantify interest rates risks.
Similarly, equity managers and traders can simulate portfolios through a variety of country and sector shocks powered by a multi-factor model. Users can manage risk through 'what-if' analyses in real time and monitor user-defined limits with an embedded limit monitoring system.
Michael Zerbs, chief operating officer, Algorithmics, says: "This latest version offers enhanced coverage and functionality, and continues to bridge the gap between the front and middle office, and between portfolio managers and investment officers, through dynamic, customisable risk reports, available on-demand."
Separately, South Africa's Absa Bank has licensed Algorithmic's Algo OpRisk application for operational risk data collection and reporting, as well as regulatory and economic capital allocation.
Implementation will begin with the OpData module, which collects and manages operational risk data. The group has also licensed the OpCapital module that uses the vendor's Mark-to-Future methodology for loss distribution analysis and capital allocation.
Algorithmics says Algo OpRisk also meets Basel II requirements, including loss data collection and tracking, capital calculations and internal risk-control assessment.
Anne-Marie Pothas, head, operational risk, Absa, adds: "From a modelling perspective, Algo OpRisk is the best fit for a tailored solution."
Absa is the first bank in South Africa to deploy Algo OpRisk.
Additionally, Germany's Commerzbank has completed implementation of Algo Liquidity, an extension of Algorithmics' Algo Market system.
Algo Liquidity provides risk managers and treasurers with a view of future expected cash balances and liquidity mismatches. Specifically, Commerzbank will be using the module to monitor forward cash exposure and balance sheet liquidity.
The system allows allows users to analyse the projected cash situation under different stress scenarios – including a Monte Carlo scenario.
Gesine Koetzing, senior vice president, Risk Control, Commerzbank, says: "Algo Liquidity allows us to manage our liquidity with higher precision by centrally evaluating the bank's global future liquidity position based on all deterministic and stochastic cash flows."