Algorithmics to deliver Citigroup credit risk models
11 January 2006 | 6747 views | 0
Toronto-based risk management vendor Algorithmics is to distribute Citigroup's global suite of credit risk models over its own credit model platform.
Based on almost two decades of research by Citigroup's risk architecture group, the models have served the internal risk management needs of the bank's business lines since 1990. The suite of models provides credit risk and default analytics for both listed and unlisted firms and comprehensive coverage across corporate and geographic markets.
The model suite includes the hybrid probability of default model for listed corporates and financial institutions, which uses both market and fundamental financial data to quantify default risk. The suite also provides access to market-specific credit risk models, which use financial statement data to calculate probability of default and credit grades on both listed and unlisted firms, and commercial banks.
Algorithmics says the Citigroup models provide market-tested default risk analytics that can be used in analysing borrower and counterparty credit quality, assigning internal ratings and validating internal risk estimates and ratings performance.
Michael Zerbs, president and CEO, Algorithmics, says: "Making available these market-tested credit models provides our clients with practical tools for enhancing their credit risk measurement and management systems.
"The alliance with Citigroup is an important part of Algorithmics' broader initiative to provide the market with leading credit risk and capital management offerings."