IBM Algo One V5.1 brings the scalability of big data to asset liability management and liquidity risk

27 Pages·2017·0.16 MB·English

IBM United States Software Announcement
217-283, dated June 13, 2017
IBM Algo One V5.1 brings the scalability of big data
to asset liability management and liquidity risk
management
Table of contents
1 Overview 11 Technical information
2 Key prerequisites 12 Ordering information
3 Planned availability date 22 Terms and conditions
3 Description 26 Prices
11 Program number 26 Order now
11 Publications
At a glance
IBM(R) Algo One(R) V5.1 provides firms with an expandable infrastructure for building
an integrated, enterprise-wide approach to financial risk management. Algo One
components are configurable into solutions which meet the specific requirements of
sell-side and buy-side firms.
Sell-side solutions
• Algo Market(R) Risk - Fundamental Review of the Trading Book (FRTB)
• Algo Credit(R) Exposure
• Algo(R) Integrated Market and Credit Risk - Real-time
• Algo Asset Liability Management (ALM) and Liquidity Risk on Big Data
• Algo Capital Management
Buy-side solutions
• Algo Portfolio Construction and Risk Management - Installed Edition
• Algo Economic Capital, Enterprise Risk Management (ERM) and Solvency II -
Enterprise Edition
• Algo Investment Design for Wealth Management - Enterprise Edition
Overview
Firms can meet their specific business requirements by building Algo One solutions
up from three different layers of components. Each solution starts with a foundation,
which is combined with base components to provide functionality within a particular
risk area, and base functionality can be extended with add-on components. Below is
a list of sell-side and buy-side solutions that can be built from Algo One components
of foundations, bases, and add-ons.
Sell-side solutions
Algo Market Risk - Fundamental Review of the Trading Book (FRTB) provides
firms with the fundamentals of scenario-based risk management, giving financial
institutions a leading solution for measuring and managing market risk across asset
classes, which can be applied to help banks comply with regulations, such as the
FRTB. This solution builds on IBM Algo One Foundation or IBM Algo One Big Data
Foundation and IBM Algo One Market Risk Base plus several add-ons.
IBM United States Software Announcement 217-283 IBM is a registered trademark of International Business Machines Corporation 1
Algo Credit Exposure provides firms with the risk analytics methodologies needed
to measure, manage, and control counterparty credit risk exposures, which can be
applied to help banks comply with regulations prescribing the standardized approach
for measuring counterparty credit risk. This solution builds on Algo One Foundation
and IBM Algo One Counterparty Credit Risk Base.
Algo Integrated Market and Credit Risk - Real-time provides firms with an
interface to control market and credit risk exposures in realtime and batch. This
solution builds on Algo One Foundation, Algo One Market Risk Base, Algo One
Counterparty Credit Risk Base, and IBM Algo One Counterparty Credit and Market
Risk Workspace Add-on.
Algo Asset Liability Management (ALM) and Liquidity Risk on Big Data
enables the measurement of the interest rate and liquidity risk, structural currency
risk, and consumer behavior modelling of core banking activities. This solution builds
on Algo One Big Data Foundation, with IBM Algo One Big Data Liquidity Risk Base
and IBM Algo One Big Data ALM Base components, when combined, delivers high
speed analytics through business-driven interfaces. The use of big data technologies
offers efficiently running simulations on high data volumes without pooling.
Algo Capital Management provides financial institutions with the tools,
technology, and support to help address the challenges of regulatory capital
management per the Basel Accords. This solution builds on Algo One Foundation,
IBM Algo One Credit Regulatory Capital Base, and IBM Algo One Credit Economic
Capital Base.
Buy-side solutions
Algo Portfolio Construction and Risk Management - Installed Edition is
designed to help asset owners and managers optimize portfolio performance,
achieve better risk oversight, and address increased client and regulatory demands.
This solution builds on Algo One Foundation and Algo One Buy Side Base.
Algo Economic Capital, Enterprise Risk Management (ERM) and Solvency
II - Enterprise Edition helps insurers manage balance-sheet risk exposures for
economic capital, solvency capital, and risk management purposes. Supporting both
internal and standard model approaches, this edition is designed to deliver timely
and valuable information to risk managers, actuaries, portfolio managers, and senior
management to enable tactical and strategic business decision making. This solution
builds on Algo One Foundation and Algo One Buy Side Base.
Algo Investment Design for Wealth Management - Enterprise Edition helps
wealth managers achieve regulatory compliance through advanced multiperiod
optimization to construct and manage personalized client portfolios. This solution
builds on Algo One Foundation and Algo One Buy Side Base.
What is new
The following add-on component for Algo One Foundation and Algo One Big Data
Foundation:
• Algo One Stress Testing Workbench Add-on
The following base components are available for Algo One Big Data Foundation:
• Algo One Big Data Liquidity Risk Base
• Algo One Big Data ALM Base
Key prerequisites
Red Hat Enterprise LinuxTM, AIX(R), and MicrosoftTM WindowsTM platforms are
supported.
IBM United States Software Announcement 217-283 IBM is a registered trademark of International Business Machines Corporation 2
For specific product details, refer to the technical information section.
Planned availability date
June 20, 2017: Electronic download
Description
Algo One foundations and add-on components
Building Algo One solutions that meet business requirements start with selecting
the right foundation. Firms can choose either the standard approach of Algo One
Foundation or the highly scalable approach of Algo One Big Data Foundation.
Algo One Foundation includes core functionality related to risk data management,
scenario generation, scenario engines, common risk models, and risk calculation.
Algo One Foundation add-ons are available for all Algo One solutions, enhancing the
capabilities and functionality of Algo One Foundation as required to meet specific
analytical needs.
Algo One Big Data Foundation integrates big data technology with the core
functionality of Algo One Foundation. This enables financial firms to cost effectively
scale up the computational power of Algo One risk management and compute risk
analytics on much larger volumes of more complex data within shorter timeframes.
All Algo One foundations include RiskWatch(R), a sophisticated desktop interface,
which provides an extensive set of models and methodologies to simulate, measure,
and manage risk exposures.
Firms can extend the functionality of their chosen foundation through the following
add-ons.
Algo One Risk Application Explorer Add-on is a browser-based, graphical, and
interactive interface, providing users with the ability to measure, monitor, allocate,
and manage portfolio risk. The drill-through, slice-and-dice, and what-if capabilities
support risk-focused portfolio construction. Algo One Risk Application Explorer Add-
on requires a foundation and at least one base component.
Algo One Developer Add-on provides additional options for creating customized
valuation functions, including the developer interfaces for Risk++ and RiskScript.
Risk++ consists of a set of C++ libraries, and RiskScript is a variant of Visual Basic
for Applications (VBA) language. Algo One Developer Add-on requires a foundation
and at least one base component.
Algo One Stress Testing Workbench Add-on is a browser-based, graphical,
and interactive interface, providing users the ability to use enhanced scenario
methodologies to construct, validate, share, and manage stress scenarios for
internal risk management and regulatory reporting. Algo One Stress Testing
Workbench Add-on requires a foundation and at least one base component.
Algo One Dynamic Strategies Add-on helps to improve hedge effectiveness and
lower hedging costs with risk management tools for optimizing trading strategies.
Simulation results give insights on what is best to trade, how much, and when,
based on multiple market scenarios that outline the potential profit and loss impacts.
Algo One Dynamic Strategies Add-on requires a foundation and at least one base
component.
Algo One Commodity Models Add-on includes standard valuation models for
commodities, including valuations based on forward pricing using constant maturity
or a rolling nearby process, and a Schwartz and Smith model. Algo One Commodity
Models Add-on requires a foundation and at least one base component.
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Algo One Credit Derivative Models Add-on includes standard valuation models
for credit derivatives, three types of valuation procedures for synthetic Collateralized
Debt Obligations (CDOs), analysis, convolution, and Monte Carlo, and the means to
estimate from market quotes the inputs into the models, such as base correlation,
hazard curves, and spreads. Algo One Credit Derivative Models Add-on requires a
foundation and at least one base component.
Algo One Stochastic Pricing Models Add-on includes standard valuation models
that facilitate the pricing of exotic derivatives (interest rate, foreign exchange, or
equity), using a Monte Carlo approach. Clients can select from a payoff function
or specify their own using a straightforward C++ or Python interface. Algo One
Stochastic Pricing Models Add-on requires a foundation and at least one base
component.
Algo One MBS/ABS Add-on includes standard valuation models for a wide range
of interest rate products. Users can build fixed income instruments from terms and
conditions or specify payments individually. Pricing algorithms include discounting,
numerical methods, lattices, and Monte Carlo. Supported interest rate evolution
processes include forward-based pricing, normal distribution, Hull-White, two-factor
Hull-White, Amin-Jarrow, and Black-Karasinski. Algo One MBS/ABS Add-on requires
a foundation and at least one base component.
Algo One Foundation Sobol Option Add-on includes the option to utilize so-
called "quasi-random" Sobol sequences for typical financial analysis, applying Monte
Carlo methods. Sobol sequences can help reduce the number of scenarios required
to reach a desired level of convergence. Algo One Foundation Sobol Option Add-on
requires a foundation and at least one base component.
Algo One Advanced Simulation Add-on enables more efficient resimulations
that are used to drive risk calculations, such as Value at Risk (VaR) and expected
shortfall. For the large number of repetitive expected shortfall calculations required
under Fundamental Review of the Trading Book (FRTB), this module helps firms
quickly cascade results and aggregate at the appropriate trading desk levels,
and provides more advanced capabilities for analyzing tail risk and analyzing risk
attribution. Algo One Advanced Simulation Add-on requires a foundation and at
least one base component.
Algo One High Speed Simulation Extension Add-on is designed to enable you
to increase simulation speeds on specific asset classes of financial instruments. The
speed increase is achieved by configuring common modeling assumptions by asset
class to optimize simulations of financial instruments within that class. High speed
simulation extensions are available for interest rate products, foreign exchange
products, equities, credit derivatives, commodities, and energy futures. Algo One
High Speed Simulation Extension Add-On requires a Foundation and at least one
base component.
Algo One sell-side and buy-side solutions built from base components plus
add-on components
Algo One base components offer functionality within a particular risk area, and
extend functionality through various add-ons. Below is a list of typical sell-side and
buy-side solutions that can be built from Algo One components that function as
foundations, bases, and add-ons.
Algo One Market Risk - FRTB provides firms with the fundamentals of scenario-
based risk management, which can be applied to help banks comply with
regulations, such as the FRTB.
Solution components
Algo One Market Risk Base computes market-risk measures (for example,
VaR and expected shortfall) by using simulation methods, such as historical or
Monte Carlo methods or using a parametric approach on an end-of-day or intraday
frequency. This also includes the capability to conduct stress testing and sensitivity
IBM United States Software Announcement 217-283 IBM is a registered trademark of International Business Machines Corporation 4
analysis. Algo One Market Risk Base requires either Algo One Foundation or Algo
One Big Data Foundation.
Algo One Market Risk Default Risk Charge Add-on measures the default risk
charge based on a 99.9 percentile VaR calculation, using a one-year time horizon
assuming constant positions over the one-year horizon. This module computes
Incremental Default Risk (IDR) for all instruments that are subject to issuer risk,
including sovereign bonds and equities as well as equity indices. The computation is
based on a two-factor systemic model and includes correlated recovery rates. Algo
One Market Risk Default Risk Charge Add-on requires Algo One Market Risk Base
and Algo One Credit Derivative Models Add-on.
Algo One Market Risk Standardized Approach Add-on computes the regulator
prescribed sensitivities (such as delta, curvature, and vega) of the standardized
sensitivity based approach that is mandatory under FRTB regulations. Calculations
can also accept sensitivities from external systems and aggregate the sensitivities,
using the prescribed risk weights and correlations. Algo One Market Risk
Standardized Approach Add-on requires Algo One Market Risk Base.
Algo One Market Risk FRTB Add-on bundles the functionality of Algo One
Advanced Simulation Add-on, Algo One Market Risk Default Risk Charge Add-on, and
Algo One Market Risk Standardized Approach Add-on. Algo One Market Risk FRTB
Add-on requires Algo One Market Risk Base and Algo One Counterparty Credit and
Market Risk Workspace Add-on.
Algo Credit Exposure provides firms with the risk analytics methodologies needed
to measure, manage, and control counterparty credit risk exposures, which can be
applied to help banks comply with regulations prescribing the standardized approach
for measuring counterparty credit risk.
Algo One Counterparty Credit Risk Backtesting Add-on enables financial firms
to automate key steps in the Counterparty Credit Risk backtesting process. This
ensures consistent risk-factor evolution and integration with Algo One data and risk
models. Algo One Counterparty Credit Risk Backtesting Add-on requires Algo One
Foundation and Algo One Counterparty Credit Risk Base.
Solution components
Algo One Counterparty Credit Risk Base provides the capability to calculate
presettlement, counterparty, credit-risk measures (for example, potential future
exposures) on an end-of-day or intraday batch frequency. The counterparty,
credit risk measures are calculated taking into account netting and collateral
agreements that are entered into between the client and its counterparties. The
system also provides the capability to develop custom aggregation functions. Algo
One Counterparty Credit Risk Base serves as the foundation layer for real-time
counterparty credit risk analysis. Algo One Counterparty Credit Risk Base requires
Algo One Foundation.
Algo One Counterparty Credit Risk Standardized Approach Add-on includes
a comprehensive, non-modelled approach for measuring counterparty credit risk
associated with over-the-counter (OTC) derivatives, exchange-traded derivatives,
and long settlement transactions, which align with the Basel Committee's final
standard on the standardized approach for measuring counterparty credit risk
exposures. Algo One Counterparty Credit Risk Standardized Approach Add-
on requires either Algo One Counterparty Credit Risk Base or Algo One Credit
Regulatory Capital Base.
Algo One Counterparty Credit Risk Settlement Risk Add-on is a settlement
risk module that provides the capability to monitor settlement risk for those
transactions where a timing mismatch exists between delivery and payment at
transaction maturity. Settlement risk is calculated based on the notional amount of
the transaction. Algo One Counterparty Credit Risk Settlement Risk Add-on requires
Algo One Counterparty Credit Risk Base.
Algo One Counterparty Credit Risk CVA Add-on is a module that builds on Algo
One Counterparty Credit Risk Base and allows you to calculate unilateral or bilateral
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credit valuation adjustment. The credit-valuation-adjustment module provides
the ability to model risk neutral scenarios and marginal probabilities of default,
which serve as inputs into the credit valuation adjustment calculation. Algo One
Counterparty Credit Risk CVA Add-on requires Algo One Counterparty Credit Risk
Base.
Algo One Counterparty Credit Risk xVA Add-on considers that advanced
xVA analytics require banks to model risk and exposure to market and credit risk
variables. This component provides integrated market and credit risk calculation
techniques, including correlated default sampling, capturing of wrong-way risk
thorough multifactor credit worthiness modeling, and customized aggregation
pools for analyzing expected losses and tail losses. This component also allows
the calculation of wrong way risk (WWR), credit valuation adjustment (CVA),
and funding valuation adjustments (FVA) at the funding set level. Algo One
Counterparty Credit Risk xVA Add-on requires Algo One Counterparty Credit Risk
Base.
Algo Integrated Market and Credit Risk - Real Time builds on the functionality
of the market and credit risk bases. With an enterprise class interface designed to
support real-time analysis, this solution offers interactive decision support for the
front office and enables traders to competitively price risk-reducing trades, and risk
managers to measure and manage financial market and credit risk across all asset
classes, product types, and industry sectors. Base options include Algo One Market
Risk Base and Algo One Counterparty Credit Risk Base.
Solution components
Algo One Counterparty Credit and Market Risk Workspace Add-on includes
web-based interfaces for:
• Maintaining static market and credit data, including market risk hierarchies,
counterparty structures, counterparty netting hierarchies, Credit Support Annex
parameters, counterparty limits, and trading policy restrictions.
• Monitoring the current counterparty exposures and limit utilization.
• Monitoring market risk measures and limit utilization.
• Reporting and managing limit violations (excesses). This interface provides drill
down and filtering capability by allowing users to zero in on violations based on
selected criteria and view the details of the offending deals.
The workspace supports full audit and revision history. You can trace changes made
to the system. Algo One Counterparty Credit and Market Risk Workspace Add-on
requires either Algo One Market Risk Base or Algo One Counterparty Credit Risk
Base.
Algo One Market Risk Limits Add-on provides the capability to set and maintain
limits on market risk measures. Limits can also be set and monitored on additional
reporting dimensions, including (but not limited to) portfolio and desk-level, product,
or maturity bucket. The system also supports excess monitoring, temporary limit
overrides, and target limits. Algo One Market Risk Limits Add-on requires Algo One
Market Risk Base and Algo One Counterparty Credit and Market Risk Workspace
Add-on.
Algo One Counterparty Credit Risk Limits and Excess Management Add-on
provides the capability to set and maintain limits across levels in the counterparty
legal hierarchy. Limits can also be set and monitored on additional reporting
dimensions, including (but not limited to) industry, rating, country, and cross border
risk. The system also supports temporary limit overrides and target limits. Excesses
can be monitored against limit thresholds as well as trading policy violations. For
example, if a certain desk is not permitted to enter into deals exceeding five year
term to maturity, any deal submitted by that desk that exceeds five year term to
maturity will be reported as a violation. Algo One Counterparty Credit Risk Limits
and Excess Management Add-on requires Algo One Counterparty Credit Risk Base.
Algo One Market Risk Real-Time Add-on provides support for calculating
incremental market risk measures (including FRTB measures), as new trades are
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committed. This module also provides support for predeal checks, including low-
latency trading support. Algo One Market Risk Real-Time Add-on requires Algo One
Market Risk Base and the Algo One Counterparty Credit and Market Risk Workspace
Add-on.
Algo One Counterparty Credit Risk Real Time Add-on builds on the
functionality of all the other modules by facilitating predeal decision support. This
module provides the ability to:
• Simulate the impact of entering into a deal with a particular counterparty.
• Calculate the incremental credit valuation adjustment for a deal. This adjustment
can be included in the pricing of the deal.
• Incorporate the impact of the new deal in the counterparty credit risk exposure.
Algo One Counterparty Credit Risk Real Time Add-on requires Algo One
Counterparty Credit Risk Base.
Algo One Counterparty Credit Risk Real Time API Add-on provides you
with the ability to develop custom applications that tap into the rich functionality
available in Algo One Counterparty Credit and Market Risk Workspace Add-on.
For example, front office traders can extend their existing trading applications to
include risk-based information in order to enhance trading strategies. Algo One
Counterparty Credit Risk Real Time API Add-on requires Algo One Counterparty
Credit Risk Real Time Add-on.
Algo Asset Liability Management (ALM) and Liquidity Risk on Big Data
provides firms with a more rigorous and interactive approach to balance-sheet risk
analysis by applying big data technology that can efficiently and reliably analyze
millions of complex cash flows across multiple scenarios.
Solution components
Algo One Big Data ALM Base supports ALM involving the measurement and
management of key risks, such as interest-rate risk, liquidity risk, and structural
currency risk. Algo One Big Data ALM Base helps asset liability managers construct
hedges capable of disentangling balance-sheet trade-offs that are in compliance
with Basel regulatory requirements through an intuitive browser-based interface for
parameterizing and running the solution. ALM users, managers, and committees can
run ad-hoc analysis on demand, enabling more accurate and transparent policies
and strategies. Algo One Big Data ALM Base requires Algo One Big Data Foundation.
Algo One Big Data Liquidity Risk Base supports liquidity risk management
through highly granular cash-flow analysis on large data volumes, measuring
funding liquidity risk, market liquidity risk, and the integration of funding and market
liquidity risk. Using the same user-driven interfaces as ALM, users can dynamically
simulate the evolution of the balance sheet to better understand the resilience of
their institution to adverse conditions, and establish risk-tolerance policies, risk
limits, liquid asset buffers, counterbalancing capacity, and contingency plans, as well
as survival horizons. Algo One Big Data Liquidity Risk Base requires Algo One Big
Data Foundation.
Algo One ALM Funds Transfer Pricing Add-on: Growth and profitability have
always been important to financial institutions, and because of global markets,
better analysis is crucial to realizing better results. Algo One ALM Funds Transfer
Pricing Add-on functionality delivers advanced-funds-transfer pricing analytics
to allow organizations to allocate financial costs, based on specific risks, such
as interest rate risk, credit, liquidity, and applicability to their business lines and
calculate the profitability of new and existing products. This add-on enables asset
liability managers to measure and manage these funding costs and to allocate the
net profit to the various business lines in a consistent manner. Algo One ALM Funds
Transfer Pricing Add-on requires Algo One Big Data ALM Base.
Algo One Liquidity Risk Funds Transfer Pricing Add-on: Growth and
profitability are important to financial institutions, and because of global markets,
better analysis is crucial to realizing better results. This product helps provide
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the calculation of accounting earnings and an advanced-funds-transfer pricing
implementation that allows organizations to allocate financial costs, based on
specific risks, such as interest-rate risk, credit, liquidity, and options, to their
business lines and calculate the profitability of new and existing products. Algo
One Liquidity Risk Funds Transfer Pricing Add-on provides support to measure the
liquidity-risk-spread-term structure and charging accordingly, for both contractual
and behaviorally modeled instruments. Algo One Liquidity Risk Funds Transfer
Pricing Add-on requires Algo One Big Data Liquidity Risk Base.
Algo One Dynamic Balance Sheet Analysis Add-On builds on dynamic balance
sheet strategies, and includes automatic rebalancing of the balance sheet for
planning purposes. Using a set of preconfigured, re-investment and re-funding
strategies, users can build dynamic, balance-sheet simulations, using Python, a
sophisticated macro language. Conditional assumptions, such as limits on future
cash flow gaps to drive new business, rollovers, and new funding are supported,
as well as stressing the future dynamic assumptions. These simulations allow
treasury departments and liquidity managers to perform balance sheet projections
and strategy growth planning. Algo One Dynamic Balance Sheet Analysis Add-On
requires a foundation and at least one base component. Dynamic balance sheet
analysis functionality is included with Algo One Big Data ALM Base and Algo One Big
Data Liquidity Risk Base.
Algo Capital Management provides financial institutions with the tools,
technology, and implementation support to help address the regulatory capital
challenges of the Basel framework. With more accurate and consistent regulatory
capital measures, organizations can pursue a regulatory capital strategy that goes
beyond Basel requirements, lowering the cost of capital and increasing operational
efficiencies.
Solution components
Algo One Credit Economic Capital Base helps financial institutions manage
portfolio credit risk and economic capital, efficiently scaling to accommodate
portfolios of any size and composition, enabling firms to more effectively balance
risk appetite and diversification. The solution helps firms meet regulatory
reporting requirements and makes active asset allocation decisions, with portfolio
management tools for optimizing risk-adjusted returns, and advanced stress
testing functionality to provide a deeper understanding of the portfolio through
explicit shocks to risk factors, as well as detailed scenario and what-if analysis.
Extensive product coverage supports exchange traded and over-the-counter (OTC)
instruments, structured products, and high volume pooling for retail, small and
medium enterprise, and corporate loan markets. Algo One Credit Economic Capital
Base requires Algo One Foundation.
Algo One Credit Economic Capital Advanced Add-on provides full valuation of
instruments sensitive to market risk factors, which provides a credit loss profile that
incorporates both market and credit risk. This approach can be used for both OTC
and exchange traded instruments and allows users to additionally stress market risk
factors, such as interest rates, foreign exchange rates, equity prices, commodity
prices, and credit spreads to see the impact on portfolio credit losses and economic
capital. Algo One Credit Economic Capital Advanced Add-on requires Algo One
Credit Economic Capital Base.
Algo One Credit Regulatory Capital Base supports Basel regulatory capital
calculations and reporting covering the Basel regulatory capital approaches (Basel
I, Basel II Standardized, Foundation and Advanced IRB, and Basel III) across
portfolios and bank asset classes, including retail, commercial, corporate, trading,
and securitizations. The calculation engine can simultaneously calculate risk-
weighted asset and other measures required for reporting under multiple home or
host multijurisdictional regulatory rules. Risk-weight assets are calculated at the
most granular transaction level and can be aggregated up to legal entity or business
unit level or other aggregation keys. Algo One Credit Regulatory Capital Base comes
with preconfigured slice-and-dice management reports. Algo One Credit Regulatory
Capital Base requires Algo One Foundation.
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Algo One Credit Regulatory Capital Advanced Add-on helps to enable risk-
weighted assets and capital requirement calculations under foundation and
advanced internal ratings-based approaches designed to verify the ideal allocation
of actions to mitigate the exposures of the bank to minimize the resultant risk-
weighted assets and capital requirements. Algo One Credit Regulatory Capital
Advanced Add-on requires Algo Credit Regulatory Capital Base.
Algo One Credit Regulatory Capital Regulatory Reporting Add-on helps to
enable generation of regulatory reports based on the rules of regulatory agencies,
such as the Federal Financial Institutions Examination Council (FFIEC) reports in the
case of US Final rule. Algo One Credit Regulatory Capital Regulatory Reporting Add-
on requires Algo Credit Regulatory Capital Base.
Algo One Credit Regulatory Capital Basel III Add-on changes the regulatory
capital calculations in accordance with Basel III rules and introduces new measures
(such as Standardized Credit Value Adjustment and Accounting Exposure for
leverage ratio calculations). Algo One Credit Regulatory Capital Basel III Add-on
requires Algo Credit Regulatory Capital Base.
Algo Portfolio Construction and Risk Management - Installed Edition helps
asset owners and managers, or their asset servicers, succeed in tough financial
markets by providing an integrated risk framework designed to help optimize
portfolio performance, achieve better risk oversight, and address increasing client
and regulatory demands. This solution is specifically designed to provide access
to sophisticated risk management and investment decision support tools to help
improve investor confidence and achieve regulatory compliance.
Solution components
Algo One Buy Side Base provides the capability to calculate risk on portfolios
of financial assets both on an absolute basis or with respect to benchmarks on a
relative basis, as well as on an end-of-day or intraday batch frequency. Algo One
Buy Side Base requires Algo One Foundation and either Algo One Risk Application
Explorer Add-on or Algo One Foundation Risk Application Explorer and Connect Add-
on.
Algo One Foundation Risk Application Explorer and Connect Add-on provides
clients with the interactive risk management browser-based dashboard of Algo One
Risk Application Explorer Add-on. It also provides an Application Program Interface
(API) to the risk calculations of Algo One Risk Application. Algo One Foundation Risk
Application Explorer and Connect Add-on requires Algo One Buy Side Base.
Algo One Buy Side Optimization Add-on enables users to create replicating
portfolios with respect to a benchmark (for example, life insurance liabilities) and
to create portfolios with optimized risk and return characteristics with Algo One
Risk Application Explorer Add-on. Portfolios can be enhanced on an absolute or
relative basis and can take into consideration investment constraints (for example,
no shorting, asset allocation constraints, duration limits) and trading constraints.
Algo One Optimization Add-on requires Algo One Buy Side Base.
Algo One Buy Side Credit Risk Add-on provides clients with the ability to perform
several types of credit risk analysis, including measuring counterparty credit
exposures, CVA, and portfolio credit risk (default and migration). Algo One Risk Buy
Side Credit Risk Add-on requires Algo One Buy Side Base.
Algo Economic Capital, ERM and Solvency II - Enterprise Edition helps
insurers manage balance-sheet risk exposures (market and non-market) for
economic capital, solvency capital, and risk management purposes. The solution
includes advanced asset modeling and proxy liability modeling (for example,
replication portfolios, curve fitting) capabilities, and is designed to deliver timely
and valuable information to risk managers, actuaries, portfolio managers, and
senior management to enable tactical and strategic business decision making as
well as regulatory compliance. Covering analytics, workflow, and reporting, the
solution can be used by insurers for multiple purposes in order to achieve better
business performance, including managing economic capital, regulatory capital, and
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investment risk as well as for ALM and M&A analysis. Base options for this solution
include Algo One Buy Side Base.
Solution components
Algo One Buy Side Base provides the capability to calculate risk on portfolios
of financial assets both on an absolute basis or with respect to benchmarks on a
relative basis, as well as on an end-of-day or intraday batch frequency. Algo One
Buy Side Base requires Algo One Foundation and either Algo One Risk Application
Explorer Add-on or Algo One Foundation Risk Application Explorer and Connect Add-
on.
Algo One Foundation Risk Application Explorer and Connect Add-on provides
clients with the interactive risk management browser-based dashboard of the Algo
One Risk Application Explorer Add-on. It also provides an API to the risk calculations
of the Algo One Risk Application. Algo One Foundation Risk Application Explorer and
Connect Add-on requires Algo One Buy Side Base.
Algo One Buy Side Optimization Add-on enables users to create replicating
portfolios with respect to a benchmark (for example, life insurance liabilities) and
to create portfolios with optimized risk and return characteristics with the Algo One
Risk Application Explorer. Portfolios can be enhanced on an absolute or relative basis
and can take into consideration investment constraints (for example, no shorting,
asset allocation constraints, duration limits) and trading constraints. Algo One
Optimization Add-on requires Algo One Buy Side Base.
Algo One Buy Side Standard Formula Add-on extends Algo One Risk Application
Explorer to include the Solvency II standard formula. Algo One Buy Side Standard
Formula Add-on requires Algo One Buy Side Base.
Algo One Buy Side Capital Workflow Manager Add-on is a workflow and
audit tool designed to manage insurers' economic capital and Solvency II modeling
process. It tracks key data items and approval processes for key modeling decisions.
This add-on ensures reliable, validated, and reproducible risk and capital information
that can be used in business decision making. Algo One Buy Side Capital Workflow
Manager Add-on requires Algo One Buy Side Base.
Algo Investment Design for Wealth Management is a powerful investment
analytics solution that delivers an innovative engagement model for wealth advisors
and investors to provide a personalized and consistent investment experience. Base
options for this solution include Algo One Buy Side Base.
Solution components
Algo One Buy Side Base provides the capability to calculate risk on portfolios
of financial assets both on an absolute basis or with respect to benchmarks on a
relative basis, as well as on an end-of-day or intraday batch frequency. Algo One
Buy Side Base requires Algo One Foundation and Algo One Risk Application Explorer
Add-on.
Algo One Foundation Risk Application Explorer and Connect Add-on provides
clients with the interactive risk management browser-based dashboard of Algo One
Risk Application Explorer Add-on. It also provides an API to the risk calculations
of Algo One Risk Application. Algo One Foundation Risk Application Explorer and
Connect Add-on requires Algo One Buy Side Base.
Algo One Buy Side Optimization Add-on enables users to create replicating
portfolios with respect to a benchmark (for example, life insurance liabilities) and
to create portfolios with optimized risk and return characteristics with Algo One
Risk Application Explorer Add-on. Portfolios can be enhanced on an absolute or
relative basis and can take into consideration investment constraints (for example,
no shorting, asset allocation constraints, duration limits) and trading constraints.
Algo One Optimization Add-on requires Algo One Buy Side Base.
Accessibility by people with disabilities
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