Manage portfolio credit risk and economic capital
Algo Credit Economic Capital helps financial institutions manage portfolio credit risk and economic capital. It can scale efficiently to accommodate portfolios of any size and composition, enabling banks, insurance firms and asset managers to more effectively balance risk appetite and diversification, support regulatory compliance and make active asset allocation decisions.
Algo Credit Economic Capital features include:
- Portfolio management tools enabling financial institutions to optimize risk-adjusted returns.
- Capital and regulatory compliance support helps banks in addressing Basel guidelines, and insurance firms in meeting Solvency II requirements.returns.
- Sophisticated analytics offer your firm advanced simulation capabilities to more effectively manage portfolio credit risk. .
- Advanced stress testing gives you a deeper understanding of the portfolio through explicit shocks to risk factors, as well as detailed scenario and “what-if” analysis.
- Extensive product coverage supports exchange traded and over-the-counter (OTC) instruments, structured products and high volume pooling for retail, small and medium enterprise (SME) and corporate loan markets.
Portfolio management tools
- Algo Credit Economic Capital offers advanced risk management, enabling you to better evaluate risk measures through the simultaneous evolution of both market and credit risk factors.
- Offers your firm optimized “what-if” analytics that allow portfolio measures to be recalculated in a fraction of the simulation time, enabling active management, portfolio re-balancing and pre-deal analysis.
- Provides a sophisticated, yet easy to use, Web-based reporting interface that enables you to slice-and-dice additive risk measures across multiple aggregation criteria, such as industry, rating, product type, maturity band, stress test scenarios, severity quantiles and time horizons.
Capital and regulatory compliance support
- Allows for consistent treatment across market and credit risks, supporting regulatory compliance requirements such as Basel II Pillar 2, IRC or Solvency II.
- Helps your firm support internal audit and supervisory review requirements through data transparency, financial model documentation, and a traceable workflow process.
- Enables you to assess and manage enterprise capital associated with business activities using industry best-practice methodologies.
- Algo Credit Economic Capital offers your firm flexible, advanced analytics enabling you to calculate credit value at risk measures under a number of frameworks, including an extended Merton model, a Credit Risk+ approach or a multi-factor analytic approach.
- Offers your firm multi-step simulation and stochastic exposure modeling capabilities, using Monte Carlo, low discrepancy Sobol and semi-analytic approaches such as Fast Fourier Transform.
- Provides a global correlation model that covers corporate and sovereign entities based on equity and CDS data, and is fully transparent and easily extensible with additional risk factors.
Advanced stress testing
- Offers your firm advanced stress testing capabilities that can be applied to most risk factors, including correlations, default and migration probabilities, exposures, loss given default (LGD), product pricing and credit models.
- Provides 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.
- Enables you to capture wrong-way risk by jointly simulating the correlation between market, credit, and macro-economic factors, and measuring the impact on the probability of default and the exposure at default.
Extensive product coverage
- Provides your firm with extensive 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.
- Allows third-party valuation or front office systems that can be easily integrated within Algo Credit Economic Capital, such as Intex and Andrew Davidson for mortgage back security analysis.
- Offers you flexible pooling and de-pooling algorithms to facilitate the handling of large volume retail and SME exposures.