Algorithmics Delivers Basel II Compliance for the Trading Book: Algo Capital Further Enhanced to Provide Expected Positive Exposure

TORONTO, Nov. 10 /CNW/ - Algorithmics Incorporated, a recognized leader
in enterprise risk management, today announced that its industry-leading Algo
Capital solution has been enhanced to provide expected positive exposure (EPE)
functionality for over-the-counter derivatives and securities financing
transactions. The enhancements to the solution's credit exposure product, Algo
Credit Exposure, now enable realistic and robust EPE calculation for
counterparties across the trading book while taking into account complex
mitigation.

"Financial institutions require comprehensive solutions to the challenges
of Basel II compliance, the last pieces of which are falling into place,"
remarked Diane Reynolds, Director of economic capital at Algorithmics. "EPE is
a key element of the Basel II capital treatment of counterparty credit risk,
and the enhancements to our solution now allow it to support all flavours of
EPE calculations. Algo Credit Exposure is a cost effective, sophisticated and
easily-implemented tool for Basel II compliance already in active use by over
50 clients worldwide to calculate accurate and timely peak exposure measures
in the trading book for operational purposes."

"The introduction of EPE calculations furthers our recognized leadership
in delivering Basel II solutions to the global financial services industry,"
said Kim Olson, Managing Director of Algorithmics' capital management
solutions. "Algorithmics is currently completing 17 significant enterprise-
wide Basel II implementations at leading financial institutions, and has over
70 Basel II related client projects underway."

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