More NewsNorthern Trust Goes Live With Stochastic Credit Exposure Measurement

Northern Trust Goes Live With Stochastic Credit Exposure Measurement

Northern Trust has gone “live” with Algorithmics’ stochastic credit exposure measurement for its trading portfolios across its foreign exchange operations in London, Chicago and Singapore. This implementation combines Algorithmics’ credit simulation functionality with its pre-deal limit functionality and the AlgoMarket solution, already in place at Northern Trust. A stochastic approach to potential future exposure calculations provides a more accurate credit-risk modelling and will enhance the institution’s risk measurement, performance measurement, capital allocation and planning activities. Northern Trust also employs Algo Credit for pre-deal limits management to support intra-day and continuous trading operations.

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