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Algo Credit Economic Capital
Algo Credit Economic Capital enables enterprise-wide economic capital calculations for market and credit risks. Driven partly by competitive pressures and best practice, and partly by regulator expectations around Pillar 2 compliance with Basel II, the software supports financial institutions seeking to implement management approaches founded on risk-based economic capital calculations.
The available scenario analysis provides users with in-depth information on the implications of plausible macroeconomic stresses. To evaluate the impact of extreme market movements, Algo Credit Economic Capital performs stress testing. All risk factors can be stressed, from individual factors for sensitivity analysis to disaster scenarios. The factors that can be stressed include PD or rating grade, LGD, exposure, interest rates, exchange rates, credit spreads, equity prices, commodities, macroeconomic factors and correlations.
Algo Credit Economic Capital also enables multi-period analysis. Using sophisticated analytics, Algo Credit Economic Capital simulates across multiple future horizons, tracking paths of both market and credit risk factors in either discrete or continuous time. This allows firms to better assess risk profiles both by extending the planning horizon and by breaking it into more actionable periods, such as fiscal quarters.
Algo Credit Economic Capital supports models tailored to retail and SME cohorts as well as individual corporates within a consistent framework. Modeling the entire book in this manner allows for a comprehensive assessment of concentrations while delivering maximum diversification benefits.
A highly scalable solution, Algo Credit Economic Capital allows users to select part or all of its functionality at the outset of the deployment. Later, as a firm's needs grow and change, additional functionality can be adopted and scaled to meet new requirements.