Algo Credit Regulatory Capital

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 migration and 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, such as the Basel II treatment for recognizing "double default" effects on guaranteed exposures.