RBC Dominion Securities (RBC DS) has signed up to Algorithmics' Algo Credit eValuator (ACV) beta programme designed to develop a credit valuation software solution that directly supports financial institutions' 'mark-to-market' business objectives.
The ACV programme was recently launched to mark loan portfolios to 'market conditions,' determine risk-adjusted profitability for a variety of loans, bonds and credit derivatives and assess detailed structural features.
Scott Aguais, director, credit risk solutions at Algorithmics, comments: "The credit data requirements needed to support calibration of ACV are substantial, requiring multiple credit vendors and data sources and RBC DS has some clear ideas on how to develop some of this cross-vendor integration with ACV."
Allan Yarish, head, global banking credit risk portfolio for RBC DS, says: "Understanding transfer pricing and achieving best of breed 'mark-to-market' methodologies are important to us, and realising these objectives begins with marking our loan portfolio to model using benchmark calibrations developed from various sources of market prices."