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Algorithmics adds capital calculations to op risk package

06 December 2001  |  2690 views  |  0 Algorithmics adds capital calculations to op risk package

Toronto-based Algorithmics has launched a new module for calculating a firm's capital as part of its operational risk oversight solution, Algo OpRisk.

The Algo OpCapital module adopts an actuarial approach, by which distributions are assumed for both the frequency and severity of losses throughout the year. The module makes use of Algorithmics' Mark-to-Future simulations to produce the loss distribution.

Michael Zerbs, VP, research & product marketing, Algorithmics, says: "Ongoing calculation and reporting of a firm's operational capital forms an important element of a comprehensive operational risk system....By combining the best features of an actuarial approach with a simulation framework, our clients will realise more efficient and transparent aggregation of loss distributions, more effective use of available data and a hitherto unmatched flexibility, in terms of model selection."

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