• Home
• News
• Press Releases
• 2007

Press Releases

Toronto/London/Rome - June 21, 2007 -

Algorithmics and Monte dei Paschi di Siena Spa Banking Group (MPS) today announced that they have successfully completed the first phase of a project that will help the bank to comply with the risk control regulations specified by the Bank of Italy. The biggest risk management challenge has been to capture all the exotic risk profiles embedded in MPS' trading portfolios. Daily processing of the wide range of complex traded deals required a very sound modeling, mapping and feeding approach. It involved capturing and managing more than 30,000 risk factors across interest rates, equities, foreign exchange rates, commodities, inflation rates, credit spreads and volatility surfaces, to manage the risk of around 100,000 priced instruments across 130,000 deals.

Analysis of the risk factors which may impact profits and losses is considered strategic for MPS. Algorithmics provided MPS with an Integrated Market Risk solution, which includes advanced pricing models, scenario generation methodologies, calibration routines and statistical analytical functions. The solution is assisting MPS in measuring the risk inherent across its whole trading book, calculating the widest range of risk measures, and supplying this information to the risk management stakeholders. Deep reporting is available to the front office and after a proper aggregation, is used by MPS' top management and board of directors. Giovanni Conti, Chief Risk Officer at MPS said, "It is extremely important for us to be able to analyze our mark to market profit and loss situation at the deepest possible level. This provides the highest standards of disclosure for management reporting at various levels, in order to simplify the interaction between the Board of Directors, the group risk management unit, the business units and the trading floor. We needed accurate and timely measurement and analysis of the requirements for regulatory and economic capital, and we believe that Algorithmics' solutions can provide us with an integrated, sophisticated approach across the whole bank, helping us to add value for customers and shareholders."

Common input parameters are leveraged by both the front office system and Algorithmics' risk management system, with our in-house sophisticated middle office financial control application, assuring independence. Given the modularity of Algorithmics' solutions, it has been very easy to interface the banks control architecture, used by operators, with Algorithmics' architecture, permitting the front office operators to recognize easily the risk management measures".

The smooth implementation of this solution has led the bank to extend its contract with Algorithmics, adding a further two solutions. These will allow MPS to measure and manage counterparty credit risk, calculate, allocate, attribute and reconcile economic capital for market and counterparty risk across the banking and trading areas, and together support a proactive approach to enterprise risk management.

Michael Zerbs, President and Chief Operating Officer at Algorithmics said; "We have met many outstanding people in MPS and we believe our collaboration with them has positioned MPS as a benchmark in its implementation of market risk, particularly for many of the functional solutions adopted. We're very pleased to continue our partnership with them. At Algorithmics we focus on offering our clients risk-aware business applications which support their growth plans and enable them to reduce their total cost of ownership. I am confident that MPS will continue to use our solutions to help them increase their efficiency and grow their business."

Giovanni Conti, Chief Risk Officer at MPS added, "Thanks to Algorithmics' framework, we are going to be able to re-use most of the work already done for the market risk project within the counterparty risk projects. This simplifies what would otherwise be very complex projects and leads directly to improved profitability."

Notes to Editors:

Monte dei Paschi di Siena spa Banking Group was founded in 1472 and is considered to be the oldest bank in the world. It is among the top five Italian banking groups. It operates across the whole Italian market in all the relevant international sectors. Its activities span Retail Banking, Private Banking, Asset Management, Investment Banking and Corporate Finance (Project Financing, M&A, Advisory, etc.).

Algorithmics is the world's leading provider of enterprise risk solutions. Financial organizations from around the world use Algorithmics' software, analytics and advisory services to help them make risk-aware business decisions, maximize shareholder value, and meet regulatory requirements. Supported by a global team of risk experts based in all major financial centers, Algorithmics offers proven, award-winning solutions for market, credit and operational risk, as well as collateral and capital management. Algorithmics is a member of the Fitch Group.

Algo Market Analytics and Algo Credit Exposure are both part of Algorithmics' comprehensive Integrated Market Risk, Credit Risk and Asset Liability Management Measurement and Analytics solution for banks. Algo Market Analytics combines industry-leading product coverage with an extensive library of advanced pricing models, scenario generation methodologies, calibration routines and statistical functions, allowing users to select tools in accordance with their needs. Its underlying Mark-to-Future, technology provides the basis for an integrated market and credit risk solution across the financial institution for both middle-office risk analysis and front-office, real-time decision support. Algo Credit Exposure provides a comprehensive solution for measuring and managing counterparty credit risk, supporting the real-time demands of operations. By providing reliable exposure measures that can be reconciled with loan equivalents, organizations can achieve a single customer view across both commercial lending and treasury activities.

Algo Credit Economic Capital provides a comprehensive framework for calculating enterprise-wide economic capital across credit and market risks. It incorporates all credit exposures across the enterprise, including banking book and trading book activities, complex financial products and credit risk mitigation and hedging. It also performs stress testing and scenario-based analysis to evaluate the impact of extreme market movements. It enables multi-period analysis, simulating across multiple future horizons, tracking paths of both market and credit risk factors. In the context of Basel II, Algo Credit Economic Capital enables financial institutions to model and assess the impact of risk concentrations, correlations and stress tests on portfolio risk and economic capital levels, which are critical elements of Pillar 2. It gives institutions an unparalleled ability to determine how much capital is needed to offset risk across the enterprise, to allocate capital across different business lines in an efficient and rational manner, and to identify opportunities for diversification and hedging.

Fitch Group is the parent company of Fitch Ratings, a global rating agency dedicated to providing the world's credit markets with independent and prospective credit opinions, research and data. The Fitch Group also includes Derivative Fitch, an independent provider of a suite of ratings and comprehensive services for the credit derivatives market; Algorithmics, the world's leading provider of enterprise risk solutions; and Fitch Training, which offers high-quality analytical training for financial professionals. The Fitch Group is a majority-owned subsidiary of Fimalac, S.A., headquartered in Paris, France. For additional information, please visit www.fitchratings.com www.algorithmics.com www.fitchtraining.com and www.fimalac.com

© 2007 Algorithmics Software LLC. All rights reserved. ALGO, ALGORITHMICS, Ai & design, ALGORITHMICS & Ai & design, KNOW YOUR RISK, MARK-TO-FUTURE, RISKWATCH, ALGO RISK SERVICE, ALGO CAPITAL, ALGO COLLATERAL, ALGO CREDIT, ALGO MARKET, ALGO OPVANTAGE, ALGO OPVANTAGE FIRST, ALGO RISK and ALGO SUITE are trademarks of Algorithmics Trademarks LLC.

• English
• 汉语

• Terms of Use & Legal Information
• Privacy Policy