Algorithmics today announced that it will offer credit correlations data within its Algo Credit Economic Capital product.
The data are generated by Algorithmics research and are available for immediate use to all new and existing clients.
The correlations data offering provides global coverage and is suitable for use with a financial institution's enterprise-wide holdings.
This offering, together with the existing state-of-the-art analytics and scenario simulation capability of the Algo Credit Economic Capital product, will promote comprehensive portfolio analysis for use in Pillar 2-related supervisory dialogue. As such, it extends the credit regulatory capital management solution, facilitating Pillar 2 compliance based upon a strong Pillar 1 risk weighted assets calculation.
Additionally, as part of the credit risk for economic capital solution, it facilitates economic capital-based activities, such as external risk capital reporting, pricing and capital and profitability management.
Savita Verma, Director of Economic Capital Solutions at Algorithmics, said, "Algorithmics is excited to be extending its data offering beyond probability of default and loss given default to include correlations. With the evolution of credit derivatives markets and the shift towards Pillar 2 considerations for Basel II compliance, correlations are becoming a key consideration for risk managers. Our aim is to provide a complete solution to our clients including software, services and content, such as credit correlations data.
"We plan to provide our users with regular updates of the correlations data offering. Users can expect the same high quality and rigor from this offering as Algorithmics is already known for in its other industry-leading, enterprise risk management solutions."