Algorithmics Delivers Basel II Compliance for the Trading Book: Algo Capital Further Enhanced to Provide Expected Positive Exposure

    TORONTO, Nov. 10 /PRNewswire/ - 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."
 
     About Algo Capital and Algo Credit Exposure
     Algo Capital offers a comprehensive solution including software,
 services, advisory and content necessary for banks to meet their Basel II and
 capital management requirements. It includes products for economic and
 regulatory capital across all Pillars, risk types, business lines, asset
 classes and approaches. It satisfies both an incremental and tactical, as well
 as long-term and strategic, approach to regulatory compliance and capital
 management using a proven and consistent infrastructure. Within Algo Capital,
 the Algo Credit Exposure product calculates and aggregates simulation-based
 exposures. Based on Algorithmics' award-winning Mark-to-Future framework, Algo
 Credit Exposure provides full forward valuation across numerous scenarios, as
 required by Basel II. It considers both netting and collateral in the
 treatment of mitigation and provides a choice of measures provides a rich set
 of statistical results (for example, moments such as EPE or quantiles such as
 peak exposure) for each counterparty and can be extended to include custom
 measures that reflect an individual institution's approach to credit risk and
 limit management. Algo Credit Exposure provides mark-to-model calculations for
 more than 200 product types. Extensions allow users to purchase additional
 modules, create their own or access analytics from other sources to ensure
 that 100% of the firm's counterparty credit exposures can be addressed within
 the Algo Suite framework. This inclusive approach is essential in facilitating
 compliance. The product also facilitates the comparison of capital
 calculations under various assumptions, including: stochastic vs.
 deterministic exposures, default/no-default vs. mark-to-market, full
 diversification vs. concentration modelling, and integration of market and
 credit risks vs. credit risk only. This framework for comparison permits both
 reconciliation of economic and the calculation of alpha for regulatory
 calculations.
     Recognized as the dominant enterprise risk solution provider in market,
 credit and operational risk in Risk Magazine's 2004 Technology Rankings,
 Algorithmics has been positioned by Gartner Inc. in the Leaders Quadrant of
 its Basel II Solutions Magic Quadrant.(x) "We believe this reflects
 Algorithmics' proven track record in providing practical solutions to the many
 Basel II implementation challenges that banks are facing, in developing
 innovative products and services for managing both regulatory and economic
 capital, and in delivering a platform that captures and measures credit,
 market and operational risk across the enterprise," said Michael Zerbs,
 President and Chief operating officer at Algorithmics.
 
     About Algorithmics
     Founded in 1989, Algorithmics is a recognized leader in enterprise risk
 management. Following its acquisition by the Fitch Group in January 2005,
 Algorithmics is the world's leading provider of enterprise risk management
 solutions and services that enable financial institutions to effectively
 understand and manage their financial risk. Algorithmics has over 200 clients,
 including more than 60 of the 100 largest financial institutions in the world.
 Algorithmics was recognized as the dominant enterprise risk solution provider
 in market, credit and operational risk in Risk Magazine's 2004 Technology
 Rankings.
 
     About Fitch Group
     Fitch Group is the parent company of Fitch Ratings, a leading global
 rating agency committed to providing the world's credit markets with accurate,
 timely and prospective credit opinions. Fitch Ratings is dual-headquartered in
 New York and London, operating offices and joint ventures in more than 50
 locations and covering entities in more than 80 countries. Fitch Group is a
 wholly owned subsidiary of Fimalac, S.A., an international business support
 services group listed and headquartered in Paris, France.
 
     (x) Magic Quadrant for Basel II Risk Management Application Software,
         Gartner Inc., David Furlonger, Douglas McKibben, September 16, 2005
 
     ALGO, ALGORITHMICS, AI & design, MARK-TO-FUTURE, ALGO CAPITAL, ALGO
     COLLATERAL, ALGO CREDIT, ALGO MARKET, ALGO OPVANTAGE, ALGO RISK, and ALGO
     SUITE are trademarks of Algorithmics Trademarks LLC.
 
 

SOURCE Algorithmics Incorporated
RELATED LINKS
http://www.algorithmics.com

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