18 July 2018
Register today

Algorithmics granted US patent

29 March 2010  |  2570 views  |  0 Source: Algorithmics

Algorithmics, the world's leading provider of risk solutions, today announced that it has received a patent for its Algo Scenario Engine, a scenario generation framework that is already in production at over 100 Algorithmics' clients.

Algo Scenario Engine is a key component of Algorithmics' risk analytics solutions. It allows for the generation of risk-related scenarios using a variety of techniques ranging from statistical, market implied, historical and user-defined covering a wide range of risk factor types. Its unique 'unified framework' provides clients with the flexibility to model their risk factors (interest rates, FX etc) in as many different ways as they require while still allowing for proper simulation and correlation across all variables to produce a single, consistent simulation. The framework is also self-documenting, allowing users to quickly determine the modeling assumptions that are made at each step of the scenario generation process. The end result is a transparent process for generating scenarios to assist in fulfilling regulatory requirements.

Ben De Prisco, Senior Vice President of Research and Financial Engineering at Algorithmics said: "At Algorithmics, we believe that scenarios represent the language of risk. The ability to communicate this risk and uncertainty through scenarios has been central to our thinking for the last 20 years. In developing the technology for Algo Scenario Engine we wanted to create a scenario generation framework that would allow for the maximum degree of flexibility and transparency in generating market-relevant and consistent scenarios - one that would allow for a range of scenario generation techniques spanning the broadest collection of asset classes and risk factor types.

"The resultant technology and framework has proved to be effective in addressing the needs following the financial crisis. We have noticed many financial institutions wanting to expand their risk factor modeling to cover newer areas such as liquidity risks and wrong-way risks as well as re-thinking how they simulate and calibrate their current risk factors. All these changes can be incorporated quickly and consistently into the framework leading to timely and relevant risk analysis."

Dr Michael Zerbs, President and COO at Algorithmics, added: "If we look at the lessons learnt from the recent turmoil, we find that all regulators agree on the importance of stress testing. Our patented scenario generation framework provides maximum choice and flexibility to institutions in generating their scenarios for every type of risk. We will continue to invest in cutting-edge research and innovation to ensure we provide risk solutions that help our clients make more informed, risk-aware business decisions."

Comments: (0)

Comment on this story (membership required)

Related company news


Related blogs

Create a blog about this story (membership required)
Visit http://go.jumio.com/finextraAdVisit info.nice.comVisit https://secure.vasco.com

Top topics

Most viewed Most shared
Metro Bank opens developer portalMetro Bank opens developer portal
9785 views comments | 5 tweets | 14 linkedin
Calmejane quits Lloyds Bank to join SocGenCalmejane quits Lloyds Bank to join SocGen
9589 views comments | 3 tweets | 7 linkedin
Anything Visa can do...Mastercard takes time outAnything Visa can do...Mastercard takes ti...
9337 views comments | 6 tweets | 15 linkedin
Mastercard enlists Worldpay to push Vocalink's Pay by Bank appMastercard enlists Worldpay to push Vocali...
8563 views 19 comments | 14 tweets | 30 linkedin
Citi to streamline corporate receivables with HighRadiusCiti to streamline corporate receivables w...
8033 views comments | 1 tweets | 5 linkedin

Featured job

Competitive base, double ote, benefits
New York, Boston, Chicago, Philadelphia, USA

Find your next job