18 November 2017
visit www.response.ncr.com

Algorithmics delivers EPE calculations; opens Mark-to-Future API

10 November 2005  |  1504 views  |  0 Source: Algorithmics

Algorithmics Incorporated, a recognized leader in enterprise risk management, today announced that its industry-leading Algo Capital solution has been enhanced to provide expected positive exposure (EPE) functionality for over-the-counter derivatives and securities financing transactions.

The enhancements to the solution's credit exposure product, Algo Credit Exposure, now enable realistic and robust EPE calculation for counterparties across the trading book while taking into account complex mitigation.

"Financial institutions require comprehensive solutions to the challenges of Basel II compliance, the last pieces of which are falling into place," remarked Diane Reynolds, Director of economic capital at Algorithmics. "EPE is a key element of the Basel II capital treatment of counterparty credit risk, and the enhancements to our solution now allow it to support all flavours of EPE calculations. Algo Credit Exposure is a cost effective, sophisticated and easily-implemented tool for Basel II compliance already in active use by over 50 clients worldwide to calculate accurate and timely peak exposure measures in the trading book for operational purposes."

"The introduction of EPE calculations furthers our recognized leadership in delivering Basel II solutions to the global financial services industry," said Kim Olson, Managing Director of Algorithmics' capital management solutions. "Algorithmics is currently completing 17 significant enterprise- wide Basel II implementations at leading financial institutions, and has over 70 Basel II related client projects underway."

SAlgorithmics today announced at its Algo Capital and Credit Forum in London, that it would be opening its award-winning risk management framework, Mark-to-Future, to allow the incorporation of client-developed or partner simulation engines through an application program interface (API).

"Making Algorithmics' industry leading risk architecture more open and more scalable is a fundamental part of our strategy," said Michael Zerbs, President and Chief Operating Officer at Algorithmics. "Opening the Mark-to-Future interface unlocks significant value for our clients, particularly within the front office where product innovation is constant. The Mark-to-Future API consolidates heterogeneous simulation engines in a consistent manner into Algo Suite, eliminating the need for any separate supporting infrastructure. This supports front-office innovation and reduces both integration and ownership costs."

At the core of Algo Suite, Algorithmics' suite of risk management solutions, Mark-to-Future is an asset class agnostic and extensible simulation framework for managing financial risk. Mark-to-Future enables financial institutions to integrate their market and credit risk by incorporating the passage of time, the evolution of risk scenarios, and the dynamics of multiple portfolio holdings.

The Mark-to-Future API, to be available in Algo Suite 4.5.2 in January 2006, will enable clients to easily include both internally-built and partner-provided financial instrument pricing engines along side Algorithmics' simulation engines within Algo Suite. The ability to incorporate external simulation engines will allow clients to better leverage existing systems and to fit best-of-breed alternatives into an overall risk architecture provided and supported by Algorithmics.

An Open MtF Partner Program has been established for companies who specialize in pricing models and desire to sell their models to Algorithmics' extensive client base. Companies who join the partner program will receive a tool kit, training and support, and will participate in joint marketing initiatives.

Comments: (0)

Comment on this story (membership required)

Related company news

 

Related blogs

Create a blog about this story (membership required)
visit www.atos.netvisit www.solutions.lexisnexis.comvisit https://www.niceactimize.com

Top topics

Most viewed Most shared
Singapore central bank open sources blockchain prototypesSingapore central bank open sources blockc...
11676 views comments | 15 tweets | 28 linkedin
Ripple boss predicts central bank adoption of blockchainRipple boss predicts central bank adoption...
11631 views comments | 20 tweets | 18 linkedin
Digital receipt startup Flux scores game-changing deal with BarclaysDigital receipt startup Flux scores game-c...
9840 views comments | 20 tweets | 36 linkedin
AmEx partners Ripple and Santander for blockchain-enabled cross-border paymentsAmEx partners Ripple and Santander for blo...
9146 views comments | 13 tweets | 38 linkedin
UK cryptocurrency exchange startup launches debit card for spending bitcoinUK cryptocurrency exchange startup launche...
7781 views comments | 26 tweets | 37 linkedin

Featured job

Competitive package
New York City, NY - USA

Find your next job