Algorithmics upgrades risk package for BIS II

Algorithmics upgrades risk package for BIS II

Toronto-based Algorithmics is upgrading its Algo Suite to meet the specific data architecture, data modeling and technology requirements required under the evolving BIS II guidelines.

"The Accord is, essentially, aligned with our 'bank of the future' strategy, wherein one core risk engine supports many business lines, delivering a consistent approach to all risk categories as mandated by BIS II," says Michael Zerbs, VP, research & product marketing, Algorithmics.

He says the company is working with key clients to create the new module, which is scheduled for delivery in the first half of 2002.

It will collect, map and store the inputs required to drive BIS II credit capital measures and provide calculations for all of the BIS II regulatory credit capital approaches; standardised, foundation and advanced Internal Rating Based (IRB). Zerb says it will be the first full solution to support all regulatory approaches as well as economic capital approaches, allowing institutions to compare their risk and reward across business lines.

It will be possible to use the new module in conjunction with Algo Collateral (Sentry) to provide a comprehensive solution to meet the minimum operational requirements for collateral that are outlined in BIS II, adds Zerb. These include system requirements for tracking the status and location of collateral and managing concentration and roll-off risks.

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