Algorithmics and Citigroup in credit risk partnership

Algorithmics, a Toronto-based specialist in enterprise risk management, has entered into a strategic alliance with global banking giant Citigroup to deliver a global suite of credit risk models. The models will provide credit risk and default analytics for listed and unlisted firms.

These systems have served Citigroup’s internal risk management requirements since 1990 and are a result of ongoing research by its Risk Architecture group. Their default risk analytics will be made available to subscribers of Algorithmics’ credit model platform, which will allow them to analyse borrower and counterparty credit quality and to assign internal ratings and validation of internal risk estimates and ratings performance.

Citigroup’s suite includes the Hybrid Probability of Default model for listed corporates and financial institutions, which uses market and fundamental financial data to quantify credit risk. The suite also provides access to market-specific credit risk models, which use financial statement data to calculate probability of default and credit grades on listed and unlisted firms and commercial banks.

The two firms claim the alliance will result in “the broadest and deepest credit model solution available in the market”, which will cover developed and developing economies in the major regions.

“Making available these market-tested credit models provides our clients with practical tools for enhancing their credit risk measurement and management systems. The alliance with Citigroup is an important part of Algorithmics’ broader initiative to provide the market with leading credit risk and capital management offerings,” said Michael Zerbs, president and chief operating officer at Algorithmics.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here