Algorithmics Opens Up

Date: Friday, November 11, 2005
Author: Jacob Bunge, Financial Correspondent,

TORONTO Algorithmics Inc. will open its Mark-to-Future risk management framework to allow the incorporation of client-developed or partner simulation engines through an application program interface (API).

Speaking at the company's Algo Capital and Credit Forum in London, Algorithmics President and Chief Operating Officer Michael Zerbs said that making its risk architecture more open and scalable was a fundamental part of the company's strategy.

"Opening the Mark-to-Future interface unlocks significant value for our clients, particularly within the front office where product innovation is constant," he said. "The Mark-to-Future API consolidates heterogeneous simulation engines in a consistent manner into the Algo Suite, eliminating the need for any separate supporting infrastructure. This supports front-office innovation and reduces both integration and ownership costs."

Mark-to-Future is an asset class agnostic and extensible simulation framework for managing financial risk, enabling financial institutions to integrate market and credit risk by incorporating the passage of time, evolution of risk scenarios and multiple portfolio holdings. The Mark-to-Future application program interface will be made available in Algo Suite 4.5.2 in January 2006, and will allow clients to include both internally built and partner-provided financial instrument pricing engines alongside Algorithmics' included simulation engines. Algorithmics also established an Open MtF Partner Program for companies interested in selling their own pricing models to Algorithmics' client base.

Established in 1988, Algorithmics provides enterprise risk management solutions and financial risk management solutions for financial institutions. In early October, the Pan-European Credit Data Consortium chose the company to develop solutions to collect and analyze credit risk data.