Algo Suite 4.1 from Algorithmics: Governance based on true risk

Toronto, Canada - May 30, 2002 -

Algorithmics Incorporated, a world leader in enterprise risk management solutions, today formally unveiled Algo Suite Version 4.1 which will enable financial institutions to manage enterprise risk exposure like never before. Algorithmics' Algo Suite is the only commercially available suite of solutions that can truly integrate different risk functions using a single, unified platform to simultaneously reduce costs, improve the quality of risk information and allocate capital more efficiently.

Building on the anticipation generated by demonstrations of the software as well as a number of client success stories delivered at the annual Algorithmics Risk Conference April 13 to 16th in Quebec City, Algorithmics' version 4.1 enables unparalleled enterprise risk management through a consistent and integrated view of all risks across the trading and banking books. To date, more than 30 of the world's leading financial institutions are in the process of upgrading and implementing this latest version of Algo Suite.

"We are ensuring corporate governance can be based on very current, very accurate picture of the risk a financial institution faces," remarked Michael Zerbs, Chief Operating Officer at Algorithmics Incorporated. "Algo Suite, with its underlying Mark-to-Future framework, enables the data collection, workflow and processing of risk-based information necessary to meet reporting rules, reduce capital requirements and more effectively run banks' businesses. Algo Suite provides the best opportunity available to protect customer assets and enhance shareholder value."

Algo Suite 4.1 is an ideal platform for financial institutions to use to monitor and understand their current and potential risk exposures. At the heart of the solution is Mark-to-Future - a flexible and comprehensive methodology that links disparate sources of risk and provides a means for calculating the risk/reward trade-off within a single, unified framework. Since Mark-to-Future is a methodological framework that supports a wide range of analytical tools, as opposed to a specific risk measure, new sources of risk can be easily incorporated and innovations in risk management best practice can be readily accommodated - neither practitioners nor regulators are locked into formulaic approaches.

Transactional and credit information, rates, and other data are collected from across a firm in real-time and mapped to a common data structure using an XML-based language. Information is distributed across a unified network of analytical engines in the Mark-to-Future risk management framework, and then made available to key decision makers throughout the firm.

Algo Suite 4.1 builds upon the ready-to-install lineup of Algorithmics' solutions that many of Algorithmics' 140 clients have implemented around the world. This focus on enterprise risk management is part of a dedicated move to anticipate evolving regulatory demands, while opening up new lines of business.

Enhancements offered in Algo Suite 4.1 include:
Extended facilities to manipulate information within databases, and the ability to delete and update data at the transaction level
Algo Input Markup Language (AIML), the XML-based format in which all data is represented, now covers a wider range of products, including a number of equity and equity derivatives instruments such as equity forwards, linked notes, convertible bonds and floating convertible bonds
Extended support for the calculation of intra-day incremental exposures in pre-deal limits checking, including the ability of users to flag the application of different formulae according to their definition of trades
New instruments including interest rate index-linked notes, Asian options, enhanced callable convertible bonds, and forward-starting options, are now covered in Algo Suite 4.1's expanded analytical properties
Volatility surface bootstrapping for cap/floors and swaptions has been extended in the areas of earnings capabilities, amortization and prepayment, and dynamic issuance, and for asset management in the areas of tracking error, return calculations, information and Sharpe ratios
Core Mark-to-Future's scenario generation capabilities are also extended in this new version to include curve tilt functionality, conditional scenarios, GARCH historical volatility scaling and commodity forward modeling
"Since 1989 we've been focused on responding to the needs of the world's leading financial institutions to effectively understand and control their risk," said Michael Zerbs. "Today financial institutions face significant public and shareholder scrutiny and evolving regulatory requirements which will significantly favour proactive enterprise risk management strategies. Algorithmics has responded to these challenges with Algo Suite, an advanced, user -focused suite of enterprise management solutions."

About Algorithmics
Algorithmics Incorporated is the leading provider of enterprise risk management solutions that enable financial institutions to effectively understand and manage their financial risk. Algorithmics' clients include more than 150 of the world's leading financial institutions. Its Algo Suite of enterprise risk management solutions are in use in 31 countries by over 50 of the 100 largest financial institutions in the world.

©2002 Algorithmics Incorporated. All rights reserved. ALGORITHMICS, ALGO SUITE, MARK-TO-FUTURE, MtF and the Ai logo are trademarks of Algorithmics Incorporated and/or its affiliates.

Press Contact

Heather Smith
Senior Communications Manager
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email: Heather.Smith@algorithmics.com