Banca di Roma is to use Algorithmics' Algo Suite for enterprise-wide market and counterparty credit risk management.
The first phase of the project focuses on market risk management and will be completed by the end of the year. To cover market risk across all financial instruments and business areas, Algo Suite will be interfaced to a variety of front office systems that support specific instrument categories, including Panorama and Kondor+. The second phase of the project will extend the scope of the Algo Suite implementation to counterparty credit risk.
Dario Cardilli, head of risk management of Banca di Roma, says: "Because of Algorithmics' Mark-to-Future framework, many different financial instruments and risk categories can be covered across all business areas of the bank. This framework also gives us flexibility to extend the scope of the solution consistently from market to credit risk."
Mark-to-Future (MtF) is the risk/reward methodology underlying Algo Suite. The system enables the incorporation of new scenario generation techniques, new pricing models and new post-processing applications and may thus be extended to new lines of business and to evolving risk management practice. Because it explicitly incorporates the passage of time, the evolution of scenarios over time and the dynamics of portfolio holdings over time, it provides a platform for assessing future uncertainty. MtF captures the impact of settlements, maturity dates, interest rates, trading and other factors that influence market risk for all instruments and other financial products.