S.A.V.E : Stochatic Asset Value Estimation
Provide Financial Institutions with innovative algorithm driven solutions to their Accounting - IFRS 9 - and Regulatory - Basel 3 - requirements.
AlgoSave delivers financial institutions with solutions to (a) IFRS-9 Expected Credit Losses calculation as well as to (b) its related computation of bank Risk Capital and RAROC. Born out of rigorous and analysis-focussed combined decades-long experiences in banking, high yield and distressed debt investments, AlgoSave innovative approach to credit modelling is founded on multi-period Calibrated Stochastic simulations of the Fundamentals of borrowers.
In line with the IFRS Standard Setters stringent requirements, AlgoSave delivers simulation-based and “Point in Time” IFRS-9 Lifetime Probability-Weighted Expected Credit Losses (ECL).
AlgoSave provides Banks and Insurance companies with a unique set of data on their lending and investment Portfolios, helping them overcoming issues of Dependency in Credit Risk Modelling.
AlgoSave focusses on developing robust algorithms to provide financial Institutions with solutions to their accounting and regulatory requirements.
AlgoSave offers an innovative approach to accounting and regulatory requirements by combining deep multi-period fundamental analysis and market calibrated algorithmic procedures.
The S.A.V.E (Stochastic Asset Value Estimation) model allows banks and Insurance companies to reduce their regulatory and economic capital.
The Basel Committee has significantly heightened supervisory expectations that internationally active banks and those banks more sophisticated in the business of lending will have the highest-quality implementation of an ECL accounting framework
Basel Committee on Banking Supervision - Guidance on accounting for Expected Credit Losses - February 2015.
ALGOSAVE allows banks and Insurance companies to get a very detailled independant third party information on fundamental credit metrics
Coupling computing power with deep credit analysis AlgoSave provides Banks with an efficient solution to the challenges posed by IFRS and Basel changing Regulatory frameworks.
internal bank modelling of portfolio credit risk may be an important element of a bank’s ICAAP and can generate the biggest reduction of capital needs
Basel Committee on Banking Supervision - March 2009
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