Danske Bank completes first phase of economic capital project

Danske Bank has completed the first phase of an economic capital project with Algorithmics that will help the bank meet the Pillar 2 requirements of the Basel II Accord.

This is the latest in a series of Algorithmics implementations at Danske, which include market risk, collateral management, exposure calculation and limits management projects.

“Danske Bank uses economic capital to manage its business,” commented Erik Frandsen, first vice-president at Danske Bank. “Having a risk-sensitive measure

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Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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