Algo Market Risk

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Measure and optimize market risk management across the enterprise.

Algo Market Risk is a scenario-based solution that helps measure and manage market risk. Its Monte Carlo simulations of mark-to-market valuations allow banks and financial institutions to significantly reduce regulatory capital requirements and helps increase their return on capital.

Algo Market Risk features include:

Proven, advanced analytics and risk reporting delivers the highly accurate risk insights needed to help banks reduce their regulatory capital.
Comprehensive instrument coverage spans 20 geographic markets and 400 financial products.
Scenario-based portfolio optimization supports proactive, risk-informed decision making.
Advanced computational speed integrates the front and middle office for active management of risk.
Customizable and scalable analytics support the evolving needs of the enterprise.

Proven, advanced analytics and risk reporting

Enabled over 150 banks and financial institutions around the world to reduce their regulatory capital requirements by qualifying for regulatory approval of their internal models for market and specific risk.
Enabled over 150 banks and financial institutions around the world to reduce their regulatory capital requirements by qualifying for regulatory approval of their internal models for market and specific risk.
Features advanced risk analytics and stress testing capabilities to optimize strategies for smarter capital management.

Comprehensive instrument coverage

Algo Market Risk spans 20 different geographic markets.
Supports more than 400 financial products, including: fixed income, foreign exchange, equity, credit, energy, commodity and derivatives.
Provides an extensive library of pricing models that you can adapt and expand to suit your particular requirements.

Scenario-based portfolio optimization

Allows you to replicate the characteristics of your firm’s enterprise portfolio with a small set of liquid instruments.
Delivers improved understanding of risk profiles.
Supports proactive development of hedging strategies for quick implementation when required.

Advanced computational speed

Supports dynamic trading strategies and helps integrate the front and middle office for active management of risk.
Allows risk managers and front office traders to perform what-if analysis to help assess the impact of potential trades or new economic situations on portfolio valuations and regulatory capital requirements.

Customizable and scalable analytics

Algo Market Risk supports rapid configuration that can evolve and scale to meet emerging needs.
Allows you to customize and expand analytics across business lines, and enables easy incorporation of new asset classes, instrument types, and risk factors --- without disrupting established results.