Kamakura has launched a new information service with default probabilities for multiple models, including structural credit models and new reduced form credit models. The default probability service offers a way for assessing model performance for banks providing quantitative measures for those model approaches under the proposed Basel II recommendations.
Algorithmics and Commerzbank have partnered to develop Algo OpModel, a new component of the Algo OpRisk Analytics module. The new component will provide statistical analysis for users to select and calibrate operational loss forecasting models to measure operational risk through the calculation of economic and regulatory capital. The development effort brings together Algorithmics' Mark-to-Future framework with the first-hand business requirements of Commerzbank. Commerzbank is a user of the Algo Market solution and also has selected components from the Algo OpRisk Analytics module.