Algorithmics Algo Credit Advisory practice has completed the first in a range of planned methodological templates to model the credit risk associated with low default portfolios, including hedge funds.
Colin Farquhar, Managing Director of the Algo Credit Advisory practice says: “Banks around the world are facing significant challenges in preparing for Basel II, particularly in relation to internal rating methodologies. To assist banks in assessing the credit risk underlying these loans in a consistent and verifiable way, we are developing a number of templates. The first template covers the credit risk banks take when lending to hedge funds.”
The low default portfolio templates can also be used in conjunction with other Algorithmics’ software solutions or with a client’s internal software.