The European Bank for Reconstruction and Development (EBRD) is rolling out Standard & Poor's Risk Solutions' Portfolio Risk Tracker (PRT) product at its treasury operations.
EBRD will use the PRT model to obtain nightly risk contribution information on its portfolio. When not running risk concentration calculations, the model can be used by risk management teams to run scenarios and 'what if?' calculations. Active portfolio management - risk offload - can also be considered.
S&P says the product is designed to read different formats, which allows banks to switch to PRT with no alterations to their existing database. Jean Sorasio, director of treasury risk management at EBRD, says the bank had an existing input database it wanted to keep.
"The fact that the change to PRT would be so seamless was therefore a major selling point," says Sorasio.
The technology will replace a commercial portfolio management system currently used by the EBRD Treasury team.