in enterprise risk management, announced today it has been selected as the
risk data services and analytics provider for the Pan-European Credit Data
The first cross-border industry data pooling initiative for credit risk,
the PECDC currently has the participation of many European top 15 and several
global top 10 banks. The consortium was established in response to the
scarcity of timely and accurate historical loss and recovery data, required to
satisfy the new Basel Accord on Regulatory Capital known as Basel II. The
PECDC's stated objective is to collect European-wide, or in some cases global,
corporate loss and recovery data to assist member banks in completing their
preparations for Basel II.
Algorithmics will provide a comprehensive suite of advice, tools and
services relating to data pool design, source data collection, data-point
validation, quality control and data normalization. The end deliverable to
PECDC member banks will be time-series data pools relating to all Basel
corporate exposure categories: Large Corporates, Small Medium Enterprises,
Banks and Specialized Lending, including; Shipping, Aircraft and Project
Finance. In this initial phase, loss and recovery observation data will be
pooled. Tools within Algorithmics' fully integrated Algo Credit and Algo
Capital solutions will be used to calculate benchmark exposure at default
(EaD), recovery rate and loss given default (LGD) values for each exposure.
Default observation data is planned for a later phase, from which probability
of default (PD) benchmark values will be calculated. Algorithmics will also
produce aggregate statistics and analytical reporting by industry
sector/geography in accordance with guidelines developed with PECDC member
banks. Analytical reporting and graphing tools will be provided to PECDC
members via a secure, dedicated web portal.
"The development of the PECDC over the last ten months as an industry
initiative driven 'by banks for banks' has, we believe, provided the best
avenue for European banks to achieve Basel II compliance and to improve their
internal credit modeling," commented Dr. Scott D. Aguais, a Director and Head
of Credit Risk Methodology at Barclays Capital and member of the PECDC
Management Committee. He continued, "Algorithmics was chosen as our partner
because of their extensive knowledge in the area of credit data pooling and
analysis. With both the PECDC and our relationship with Algorithmics firmly
established, we can now get the hard work really started!"
"With this partnership agreement we have achieved the best possible
combination of credit portfolio management expertise, provided by some of the
industry's leading banks, and the in-depth data management experience and
technical excellence of Algorithmics," says PECDC Management Committee
Chairman, Jeroen Batema of NIB Capital Bank.
"PECDC member banks will utilize Algo Credit Data products and services
to help satisfy pending Basel II internal ratings based (IRB) requirements for
the staging, structuring and validation of historical default, loss and
recovery data, a key requirement for any best practice compliance program,"
remarked Michael Zerbs, President and Chief Operating Officer at Algorithmics.
"The PECDC will set new standards for data pooling and the external validation
of PD and LGD across the euro-zone. We are very pleased to have been selected
as the consortiums' risk data and analytics partner."