Algo Credit Regulatory Capital allows users to generate robust and consistent Basel ll credit regulatory capital calculations across the enterprise, including a number of key features relating to the management of data inputs. Algo Credit Regulatory Capital:

  • collects and normalizes credit data across a bank's source systems to enable accurate and consistent calculations
  • consolidates global exposures, as well as the counterparty, default and migrationand LGD data crucial to performing Basel ll calculations
  • pools and pre-processes retail exposure data across product type, geographies, PD, LGD and other reporting attributes
  • categorizes wholesale exposures according to the Basel ll asset categories
  • stores data at point-in-time snapshots, enabling recall of historical data for discussions with regulators

Algo Credit Regulatory Capital also provides a smart calculation engine for computing credit risk-weighted assets. These features address a number of requirements relating to Basel ll compliance, including:

  • capital calculations for credit risk under multiple approaches, including standardized, foundation IRB and advanced IRB approaches, hybrid approaches such as Basel 1A in the U.S. and the interim rules in Canada, as well as Basel I calculations at the transaction level
  • the ability to cover all asset classes across the enterprise, from retail to wholesale, trading book and securitization
  • all allowable credit risk mitigation techniques
  • stress testing of inputs and parameters to the calculations

Algo Credit Regulatory Capital also integrates new calculation techniques and parameters as regulations evolve,suchasthe Basel II treatment for recognizing "double default" effects on guaranteed exposures.

Related Downloads

Algo Credit Pillar 2 Fact Sheet

Comprehensive, streamlined approach for banks moving towards Pillar 2 credit capital compliance

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