Bank of Ireland is rolling out market risk measurement and management technology from Toronto-based vendor Algorithmics at its global markets division.
The bank has purchased Algo Market Analytics, which covers more than 20 global markets and over 400 financial products, spanning fixed income, foreign exchange, equity, credit, energy, commodity and derivatives instruments.
The system's product coverage includes a library of advanced pricing models, scenario generation methodologies, calibration routines and statistical functions, allowing users to select tools in accordance with their needs.
Catherine Keane, head of credit and market risk, Bank of Ireland Global Markets, says: "We plan to roll this system out to the middle office as soon as possible. With over 80,000 positions on our books, we need a system that can run best-practice, technologically advanced, intra-day market risk analytics quickly and efficiently, and in a manner that is consistent with Basel II requirements."
Keane says the system will be extended to the front office within the next 12 months to improve the decision support tools used by traders.
"In particular, we want to implement the best possible stress testing and scenario analysis, to ensure we use our capital as effectively as possible," she adds.