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Algo Real-Time Credit Engine
Algo Real-Time Credit Engine enables banks to perform the highest quality exposure calculations and pre-trade credit checks with virtually no compromise in trade execution time. Designed to provide a real-time view of the credit exposure and settlement exposure of a bank's counterparties, Algo Real-Time Credit Engine delivers scalable, real-time pre-deal checking, intraday reporting on the credit status of a counterparty, and real-time feeds to trading desks.
Algo Real-Time Credit Engine is a multi-asset system that interfaces directly with a bank's e-commerce platforms and other front office systems to provide real-time pre-trade credit checking across capital markets. Interest rate, equity, foreign exchange, credit, and commodity products are all supported for an extremely broad range of simple and complex products.
Credit exposure is measured using multi-step Monte Carlo-based simulation, using a consistent methodology for scenario, time, collateral, netting, and give-up modeling as employed by the middle-office. Offering a consistent analytical framework for credit exposure, Algo Real-Time Credit Engine supports more informed decision-making and trading decisions in the front office.
Benefits
Supports real time, multi-step Monte Carlo simulations
Algo Real-Time Credit Engine enables pre-deal limit checks based on multi-step Monte Carlo simulations to be completed in as little as 20 milliseconds. Each pre-deal limit check includes simulation, aggregating into the bank's counterparty hierarchy, calculation of the impact of credit mitigants including close-out netting and collateral, settlement checking, and limit checking.
Reduces costs through improved risk control
The Algo Real-Time Credit Engine system enables banks to move towards a single methodology that can cover an entire spectrum from enterprise credit exposure calculation to pre-deal limit checks. By helping to reduce the costs and effort associated with reconciling separate credit exposure measurements and limit methodologies, Algo Real-Time Credit Engine enables banks to focus more on value-added credit analysis.
Improves time to market for new products
With its consistent Monte Carlo approach spanning the front and middle office, Algo Real-Time Credit Engine provides banks with an integrated system that eliminates the up-front analysis traditionally required for calculating credit exposures. The efficiencies gained through the Monte Carlo approach will help allow banks to add new products in shorter timeframes.
Improves utilization of credit lines
In mark-to-market approaches, the intra-day trading limits are based on measures of credit exposure that may not consistently capture the impact of portfolio diversification, netting, and collateral. Algo Real-Time Credit Engine's multi-asset system bases intra-day trading limits on the most accurate possible measure of credit exposure. As a result, intra-day deals that reduce credit exposure can be priced more competitively than a deal that increases exposure, leading to more credit-efficient portfolios.