Canada’s Royal Bank signs up to Algo Credit Evaluator

RBC Dominion Securities (RBC DS) has joined Bank One in conducting beta tests of Algorithmics' Algo Credit Evaluator (ACV), a credit evaluation tool developed by the Toronto-based risk analytics vendor.

RBC DS, a unit of Canada’s Royal Bank Financial Group, has become a key participant in the programme, with its portfolio management unit bringing some clear ideas on how to develop cross-vendor integration with ACV, said Algorithmics' director of credit risk solutions, Scott Aguais. “The overall objective of the group is to work closely with key leading institutions to develop a superior credit valuation software solution that directly supports their mark-to-market business objectives.”

The new credit valuation tool is designed to mark loan portfolios to market conditions, determine risk-adjusted profitability for a variety of loan, bond and credit derivatives, and assess detailed structural features. “The advanced ACV software is designed to serve multiple business objectives across both front and middle-office credit risk functions,” said Aguais.

Allan Yarish, head of RBC DS’ global banking credit risk portfolio, said marking RBC DS’ loan portfolio to models using benchmark calibrations developed from various sources of market prices would be central to achieving best-of-breed mark-to-market methodologies. ACV should support ongoing monitoring of the value of the borrowers’ loans, including stress testing as ratings, and credit and market conditions at RBC DS.

Both Aguais and Yarish are speaking at Credit Risk Summit 2001 USA (see www.risk-conferences.com) 4-5 October.