Feature spotlights

24/7 Real-time Infrastructure

Accurate, real-time and pre-deal simulation for capturing trade impact on risk on a single risk platform. Perform trade amendments and limit checking within seconds. Delivers sub second response times in a 24x7 high availability architecture, across multiple global trading desks.

Single Infrastructure

Flexible and scalable infrastructure to deploy Real World, Risk Neutral, Historical Market, Stressed Market, Standardized CCR and other sets of analytics on single platform and user interface.

Regulatory Compliance

Compliance with Basel II.5/III standardized and internal model calculations of capital and the ability to measure impact of new deals on credit capital and return on capital. Increases return on capital and reduces RWAs with Basel Compliance. Computes standardized counterparty credit and risk exposure with Basel Current Exposure Method and SA-CCR methodologies in real-time.

What-if Sandbox Analytics

Extensive counterparty exposure stress testing via what-if analysis and powerful sandboxing capabilities with UI driven simulation and aggregation. Provides a platform to analyze credit exposure changes on a daily basis and attribute exposure contributions as well as risk factor analyses.

Open APIs

Direct connection to multiple FO systems and the ability to leverage 3rd party and internally developed models via open APIs. Pluggable analytics for customizable components and proprietary analytics engines.

XVA Pricing

Increase competitive advantage with accurate pricing of new deals and hedging counterparty exposures and XVAs, important for the XVA desk. Capture the effect of Wrong Way Risk in XVA pricing with sophisticated analytics.

Backtesting

Regulators require IMM approved Financial Institutions to perform CCR backtesting on an annual basis. IBM provides infrastructure and methodology for counterparty credit risk back testing.

Margin Impact on Exposures

Consider impact of Variation and Initial Margin impacts on exposure calculation. Model futures margin exchange across scenarios based on actual legal agreement term signed with counterparties.

Fulfill the Stringent Rules of the TRIM

In Europe, the Targeted Review of Internal Models (TRIM)is intended to review the best practices of Internal Model Approved financial institutions. IBM provides advanced exposure modeling techniques and analytical capabilities for FIs to achieve compliance including capturing cash flow spikes during margin period of risk.

Assignment Workflow

User customizable workflow process for post trade workflow for investigation, violation approval and escalation as well as facilitates risk team day to day analysis work by identifying abnormality changes in exposures

Customer case studies

Case study image

Custom Front Office Application leverages Algo IMCR Framework & Open APIs

Intesa SanPaolo
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Case study image

Smarter more informed business decisions based on real-time understanding of exposure

Keybank
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How customers use it

  • Front Office & Risk Integration

    Front Office & Risk Integration

    Problem

    Risk Management and the Front Office have multiple soloed technology stacks for XVA and exposure calculation with conservative add-on based limit management.

    Solution

    Algo IMCR improves risk based decision making by measuring relationships-time and pre-deal simulation based counterparty exposures, XVAs and capital using a single platform with a single user interface.

  • Comprehensive Regulatory Coverage

    Comprehensive Regulatory Coverage

    Problem

    Stringent regulatory requirements for Internal Model Approval

    Solution

    Algo IMCR provides advanced simulation based analytics: path dependent collateral model based credit exposures; extensions to model exposures accounting for the granular settlement cash flows dating each MPOR and as tools to perform CCR backtesting.

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