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.