Benefits
Leveraging a flexible modeling environment for multiple valuation and credit risk models, Credit Risk for Economic Capital provides next generation analytics that integrate market and portfolio credit risks in support of risk-informed decision making, and a more rational allocation of financial resources.
Supports Pillar 2 requirements under Basel II
In the context of Basel II, Credit Risk for 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, critical elements of Pillar 2. Users are able to move step-by-step from the regulatory model to the full economic capital model employed within the institution.
Enables capital management, strategic planning and forecasting
Algorithmics' Credit Risk for Economic Capital solution 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. By knowing their risk, users are able to define their risk appetite and develop business plans that are closely aligned with corporate strategies.
Provides multiple perspectives of credit risk
The wide range of credit risk modeling solutions available through Algo CreditVantage provides the broadest and deepest credit model solution available in the market. Coverage includes developed and developing economies globally, listed and unlisted firms, and industry sectors including financial institutions, utilities and commercial real estate. Customized models, developed through Algo Credit Advisory, can further enhance client coverage.