Westpac backs Algorithmics for credit risk

Westpac backs Algorithmics for credit risk

Westpac Bank has completed the first phase of implementing Toronto-based Algorithmics' credit and market risk solution in support of its wholesale financial market and treasury departments.

The bank says its overall objective is to introduce dynamic credit assessment capabilities and tools across all financial markets products.

Algo's Mark-to-Future-based simulation enables full capture of products for netting and collateral. "The ability to compute intra-day netted exposure across all our products will result in an ability to transact more business, with reduced capital usage thus improving returns," says Mark Putnam, head of trading risk management for Westpac's Institutional Bank.

Phase one of the project witnessed the roll out of Algo Credit throughout the bank's operations. Additionally, Westpac is now in the process of developing intuitive, user-friendly Graphical User Interfaces (GUIs) for front-office users, to access and leverage risk analytics and risk assessments that had previously been the preserve of the middle office.

Phase two, currently underway, consists of replacing the Sungard RXM system with Algorithmics' treasury solution for credit risk limits management - Algo Limits. Phase three will involve the replacement of its current market risk engine, the Reuters KvaR product, with the Algo Markets product. Completion is scheduled for September 2001.

Michael Zerbs, vice president of research and product marketing, Algorithmics, says: "With this implementation we are effectively providing one architecture for credit and market risk management in the middle-office and front-office, which proves the flexibility and scalability afforded by the Mark-to-Future methodology."

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