• Home
• News
• Press Releases
• 2008

Press Releases

Toronto/London - November 5, 2008 -

Algorithmics, the world's leading provider of risk solutions, today announced that it has received a patent for its Dynamic Trading Strategies (DTS) technology - a risk management system and method that allows risk managers and asset managers to model the dynamic behaviour of a portfolio of instruments using a rule-based framework. DTS forms the cornerstone of Algorithmics' ALM, asset management and liquidity risk solutions.

At its core, DTS allows users to simulate their portfolios through time in a realistic and flexible fashion by establishing rules for how the portfolio should be reinvested, rebalanced and/or liquidated over the same period. This patent recognizes the uniqueness of Algorithmics' DTS technology, which is differentiated by the range and sophistication of rules it allows.

The patented technology is currently in use by many Algorithmics clients worldwide. ALM practitioners rely on DTS to model the forward evolution of the balance sheet including the modeling of new business, strategic re-investments and balance sheet funding requirements. DTS also enables firms to implement recent industry recommendations and regulatory guidelines for sound liquidity risk management. Asset managers use DTS to assess the impact of various investment plans and strategies over time. Market risk managers model the purchase and sale of securities in the trading book in DTS and also calculate liquidity-adjusted Value-at-Risk figures.

Ben De Prisco, Senior Vice President of Research and Financial Engineering at Algorithmics said: "At a time when liquidity risk for trading books and funding risk for financial institution balance sheets are centre stage, this patented and proven technology provides institutions with a unique competitive advantage. Current market conditions demand flexible, accurate and efficient risk management tools that enable institutions to model their risks in the context of today's restrictive liquidity and funding environment. Algorithmics' DTS technology allows them to do that and more."

Michael Zerbs, President and COO, Algorithmics, added: "This patent further demonstrates Algorithmics' commitment to product innovation and its leadership as a risk solutions provider. Our patented DTS technology, which underpins several of our risk solutions, is the right dynamic risk management framework for current market conditions. We will continue to invest in cutting-edge research to ensure we provide risk solutions that help our clients make more informed, risk-aware business decisions."

This is Algorithmics' second patent award in as many months. More information about Algorithmics' recent patent for Generator Libraries is here: http://www.algorithmics.com/EN/news/pressreleases/261-press.cfm

For further information please contact:
Heather Smith
Senior Communications Manager, Algorithmics (UK) Ltd
Direct line +44 (0) 20 7392 5820
Mobile +44 (0) 7515 974223
E-mail: heather.smith@algorithmics.com

Notes to Editors:

Algorithmics is the world's leading provider of 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. www.algorithmics.com

Algo ALM provides a comprehensive assessment of earning sensitivity and future market valuation using a dynamically modeled balance sheet. Earnings and value are supported by a single, integrated and analytical framework with common scenarios, growth and reinvestment assumptions, as well as common cash flow generation and valuation models. With Algo ALM, balance sheet professionals can aggregate, measure, monitor and restructure the market and liquidity risk of the balance sheet according to their specific needs.

Algo Risk supports the pursuit of informed investment decisions with real time access to market and risk information. Addressing the diverse needs of risk managers, traders, portfolio managers, and quants, Algo Risk supports multiple investment strategies, asset classes, valuation methodologies, risk/portfolio analytics, and scenario generation techniques. Algo Risk integrates the front and middle office through a flexible reporting interface. Decision support functions such as "what-if" analysis and "best hedge" recommendations are provided in addition to standard risk and performance analysis. Supporting a wide range of advanced portfolio and risk analytics, Algo Risk combines real time risk monitoring and an easy-to-use, customizable structure within an enterprise-wide data management system.

Algo Market Analytics supports market risk capital measurement, management and mark-to-market, enabling calculation of minimum capital under standardized and internal model approaches. Algo Market Analytics captures and consolidates exposures arising from multiple risk factors including interest rates, equity markets, credit spreads, volatilities, FX, power and commodities. The range of risk analytics offered includes stress testing, simulation-based scenario generation, aggregation, drilldown and portfolio optimization. Since 1996, firms have used Algo Market Analytics to secure regulatory approval for their Internal Models Approach (IMA).

Fitch Group is the parent company of Fitch Ratings, a global ratings agency committed to providing the world's markets with independent, timely and prospective credit opinions. With 49 offices worldwide, Fitch Ratings' global expertise spans across capital markets in over 150 countries. Fitch Ratings is headquartered in New York and London.

The Fitch Group also includes Fitch Solutions, a distribution channel for Fitch Ratings products and a provider of data, analytics and related services; and Algorithmics, the world's leading provider of enterprise risk solutions.

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 and www.fimalac.com  

© 2008 Algorithmics Software LLC. All rights reserved. ALGO, ALGORITHMICS, Ai & design, ALGORITHMICS & Ai & design, KNOW YOUR RISK, MARK-TO-FUTURE, RISKWATCH, ALGO ALM, ALGO COLLATERAL, ALGO CREDIT ADMINISTRATOR, ALGO CREDIT DATA SERVICES, ALGO CREDIT ECONOMIC CAPITAL, ALGO CREDIT EXPOSURE, ALGO CREDIT LIMITS, ALGO CREDIT REGULATORY CAPITAL, ALGO CREDITVANTAGE, ALGO ETREASURY CREDIT, ALGO FIRST, ALGO MARKET ANALYTICS, ALGO OPDATA, ALGO OPVAR, ALGO RECONCILIATION, ALGO RISK, ALGO RISK SERVICE, and ALGO SUITE are trademarks of Algorithmics Trademarks LLC.

• English
• 汉语

• Terms of Use & Legal Information
• Privacy Policy