Supports regulatory compliance
- Algorithmics Capital Management offers a single, integrated solution supporting the three pillars of Basel II and Basel III.
- Helps you to reduce the costs of regulatory compliance and lower the cost of capital through the application of more advanced capital management approaches.
- Enables you to generate measures using all calculation methodologies – Basel I, Basel II Standardized, Foundation IRB, Advanced IRB, and Basel III – across the enterprise and multiple jurisdictions. It also gives you the capability to generate regulatory returns based on these multiple jurisdictions, as well as quantitative risk disclosures for Pillar 3.
- Helps you to meet ICAAP standards and Pillar 2 expectations, and provides analytics for assessing credit risk concentrations (both name and sector).
Extensive product coverage
- Provides enterprise-wide product coverage for fixed income instruments, vanilla and exotic derivatives, commodities, structured credit products such as collateralized debt obligations and retail, SME, commercial and corporate lending.
- This flexible solution gives you the power to handle complex, multi-level corporate structures and credit relationships, including the allocation of undrawn amounts and credit mitigants across complex credit facility structures.
- Facilitates the handling of large volume retail and SME exposures with flexible pooling and de-pooling algorithms.
- Enables you to consolidate data from both the banking and trading books with smart pooling algorithms.
Optimizes credit risk mitigation
- Algorithmics Capital Management helps you net consolidated exposures, integrating different approaches for banking, trading and retail books.
- Enables you to optimize credit mitigation across different capital rules, taking into account mitigant eligibility rules across approaches and jurisdictions. It helps you determine the optimal allocation of credit mitigants across exposures, and within credit facilities and counterparties, by using a sophisticated integer programming approach.
Advanced stress testing
- Enables stress tests to be applied to most risk factors, including correlations, default and migration probabilities, exposures, loss given default (LGD), product pricing and credit models.
- Offers conditional scenarios that enable you to generate full loss distributions based on simple historical scenarios, stress assumptions, or forecasts of key risk factors, while simultaneously maintaining the dynamics of all risk factors.
- Provides you with comprehensive capabilities for sensitivity analysis and stress testing, including reverse stress testing and conditional stress tests.
- Capture wrong-way risk by jointly simulating the correlation between market, credit, and macro-economic factors, and measure the impact on the probability of default and the exposure at default.
Supports auditability and enhances operational efficiency
- This user-friendly yet sophisticated solution supports regulatory auditability and enhanced operational efficiency. It provides drill-down functionality and transparency at all levels of calculation, including input parameters, intermediate calculations and reported numbers.
- Enables you to adopt advanced Basel approaches when desired. Integrating a flexible data management infrastructure and a powerful, comprehensive risk engine, this solution gives you the flexibility to help meet the challenges of evolving regulatory environments and changing business requirements.