Chicago-based Northern Trust Corporation is using Algorithmics technology to implement an enterprise-wide risk measurement and management system that complies with Basel II regulations.
Components of Algo Market, Algo Credit and Algo Limits will form a core risk 'engine' that will enhance credit analysis, reduce capital requirements and improve overall returns for NTC, says the company.
Duane Rocheleau, senior VP of treasury for Northern Trust, says: "We believe that Algorithmics has the flexible, open framework, based on their Mark-to-Future methodology, to seamlessly and transparently integrate various risk management functions across the banking and trading books."
Peter Magrini, the senior VP of worldwide technology at Northern Trust, says the introduction of a single architecture will enhance day-to-day risk management decision activities, as well as the estimation of risk capital.
NTC has also licensed Algo OpRisk to provide ongoing calculation and reporting of the firm's operational capital.