Algorithmics and Citigroup Credit Risk Model
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Citigroup is to sell its credit risk management models in a partnership with Toronto-based Algorithmics Inc. Algorithmics is a vendor of enterprise risk management solutions. These help financial institutions understand and manage their financial risk. Citigroup's input is derived mainly from the work of its Risk Architecture Group. They developed the risk models, upon which Citigroup relied for its own internal risk management needs. The selling point of the suite of models is that they have been market-tested as default risk analytics. Subscribers to the models via the Algorithmics models platform can use the suite to: * Analyze borrower and counterparty credit quality. * Assign internal ratings. * Validate internal risk estimates and ratings performance. Algorithmics is hoping that its risk measurement experiences and the model content from Citigroup are a good combination. Indeed the models are supposed to integrate with other Algorithmics credit and capital management suites. The models cover a wide range of risks. These include listed and unlisted companies. Geographically they cover North and South America, Western, Central and Eastern Europe, the Middle East, Africa, Asia, and Japan. Models include the Hybrid Probability of Default. This is used for corporate and financial institutions and uses market and financial data to quantify default risk. Market-specific credit risk models based on financial statements calculate probability of default and credit grades. "The Citigroup models are grounded in many years of research and active credit risk management experience and provide extensive coverage of credit markets internationally, said Michael Zerbs, President and Chief Operating Officer at Algorithmics. """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."" ""Algorithmics' proven ability to develop thoughtful, user-friendly and sophisticated risk management software makes them an attractive partner," said Jim Garnett, head of Citigroup's Risk Architecture Group.
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