Algorithmics Market Risk Management from SS&C Technologies

A comprehensive market risk solution that provides VaR calculations, stress testing, back-testing, and scenario analysis. The solution supports various methodologies including historical simulation, Monte Carlo simulation, and parametric approaches.

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Market Risk Systems for Risk Management

Solutions for measuring and managing risks from changes in market prices, interest rates, and volatility.
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Market Data Integration
(9 Yes /9 Known /11 Possible features)

Risk Calculation Engine
(11 Yes /11 Known /12 Possible features)

User Interface and Reporting
(9 Yes /9 Known /10 Possible features)

Regulatory Compliance
(8 Yes /8 Known /10 Possible features)

Performance & Scalability
(0 Yes /0 Known /10 Possible features)

Security and Access Control
(0 Yes /0 Known /10 Possible features)

Product Coverage
(0 Yes /0 Known /10 Possible features)

Model Risk Management
(0 Yes /0 Known /10 Possible features)

Integration and Interoperability
(0 Yes /0 Known /10 Possible features)

Audit, Logging & Traceability
(0 Yes /0 Known /10 Possible features)

Deployment, Maintenance & Vendor Support
(0 Yes /0 Known /10 Possible features)

Market Data Integration
(0 Yes /0 Known /12 Possible features)

Risk Calculation & Analytics
(0 Yes /0 Known /12 Possible features)

Product Coverage
(0 Yes /0 Known /7 Possible features)

Performance and Scalability
(0 Yes /0 Known /8 Possible features)

User Interface and Usability
(0 Yes /0 Known /8 Possible features)

Integration and Interoperability
(0 Yes /0 Known /7 Possible features)

Security
(0 Yes /0 Known /7 Possible features)

Regulatory Compliance
(0 Yes /0 Known /6 Possible features)

Data Management & Quality
(0 Yes /0 Known /6 Possible features)

Support, Maintenance, and SLAs
(0 Yes /0 Known /5 Possible features)

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Real-Time Data Feeds Supports real-time streaming data from exchanges and data providers.		Product description and vendor documentation refer to real-time portfolio analytics and data integration for market risk.
Historical Data Support Ability to access and utilize historical market data for backtesting and model validation.		The solution supports historical and back-testing functionality, indicating historical data access.
Data Cleansing Automatically detects and rectifies anomalies or gaps in imported market data.		The platform emphasizes data quality and integrity, suggesting automatic data cleansing.
Wide Asset Coverage Supports a diverse set of asset classes including equities, fixed income, FX, derivatives, and commodities.		Algorithmics supports a wide range of asset classes including equities, fixed income, FX, derivatives, and commodities.
Data Latency The delay between data origination and when it is available for risk calculations.		No information available
Vendor Connectivity Out-of-the-box integration with leading market data vendors.		Connectors to leading data vendors (e.g., Bloomberg, Reuters) are noted in public product references.
Custom Data Sources Ability to import and work with proprietary or bespoke data feeds.		Documentation states support for custom feeds and proprietary data.
Data Lineage and Audit Tracks origin and changes of all market data for audit and control purposes.		The system's focus on auditability and compliance evidences data lineage and audit tracking.
Data Refresh Frequency Interval at which the market data is updated.		No information available
Data Quality Metrics Tracks completeness and consistency metrics for market data.		Algorithmics monitors and tracks data quality as part of its risk data framework.
Support for Multiple Currencies Handles data in various global currencies.		Documentation and marketing confirm support for multiple global currencies.

Value-at-Risk (VaR) Calculation Built-in models for calculating portfolio and asset VaR.		The platform includes advanced VaR models as a key offering.
Expected Shortfall (ES) Supports calculation of Expected Shortfall for advanced risk analytics.		Expected Shortfall (ES, CVaR) is a supported methodology per product overview.
Stress Testing Scenario and historical stress test capabilities.		Scenario and stress testing are core components per SS&C's product page.
Risk Factor Sensitivities (Greeks) Calculates sensitivities including delta, gamma, vega, rho, and theta.		Computation of risk sensitivities (Greeks) is referenced in risk analytics capabilities.
Revaluation Performance Number of positions/instruments processed per second.		No information available
Calculation Parallelization Supports distributed or parallel risk computation.		Distributed and parallelized risk calculations mentioned in performance documentation.
Custom Model Integration Allows for integration of user-developed risk models.		Documentation allows integration of custom and user-developed models.
Monte Carlo Simulation Capability Ability to run large-scale Monte Carlo risk simulations.		Monte Carlo simulation methods are a flagship capability of Algorithmics.
Backtesting Functionality Built-in functionality to backtest risk model performance against actual outcomes.		Explicitly described as supporting backtesting of risk models.
Risk Aggregation Aggregates risk across asset, business line, and geographical hierarchies.		Risk aggregation is mentioned as a solution feature for enterprise risk reporting.
Correlation Handling Ability to model and utilize asset correlations in risk calculations.		Correlation and dependency modeling available for multi-asset risk assessments.
Non-linear Instruments Support Handles exotics and path-dependent instruments (e.g., options, swaps).		Explicit handling of exotics and non-linear instruments is stated as part of model library.

Customizable Dashboards Users can tailor dashboards to display relevant risk metrics.		Dashboards are configurable at user/profile level per product documentation.
Ad-Hoc Reporting Capability for users to build custom queries and reports on demand.		Custom/Ad-hoc reporting is listed in SS&C Algorithmics solution features.
Scheduled Reporting Supports automated generation and distribution of regular risk reports.		Capacity to automate scheduled regulatory and management reporting is described.
Data Export Functions Export results to Excel, PDF, CSV, or BI tools.		Exports to Excel, CSV, and other standard formats documented on product site.
Interactive Visualization Enables dynamic charting and drill-downs into risk data.		Interactive dashboards and visualizations are referenced in marketing and user guides.
Web-Based Access Accessible via browser-based GUI for remote users.		Web-based client support is a key component, as stated in multiple sources.
APIs for Reporting APIs available to pull risk results into external systems.		APIs available for external system and BI/reporting tool integration.
Alerting and Notifications Notifies users when risk limits are breached.		Alerting including limit breach notifications is described in solution sheets.
Role-Based Views User roles govern data visibility and interface features.		Role-based view and access controls are standard for enterprise deployment.
Multi-Language Support UI available in multiple languages.		No information available

Basel III/IV Compliance Pre-built modules for regulatory calculation and reporting.		Solution supports regulatory frameworks including Basel III & IV as well as regional variants.
Regulatory Report Generation Automated templates for regulatory submissions (e.g., COREP, FR Y-14).		Automated regulatory templates and report generation described on vendor site.
Audit Logging Logs all access and changes for audit and compliance tracking.		Comprehensive logging of user actions and data changes for compliance audit.
Model Governance & Documentation Stores model documentation, approvals, and ongoing validation results.		Model documentation, approvals, validation, and governance are all core solution elements.
Regulatory Change Updates System is updated to reflect changes in major regulations.		Algorithmics is regularly updated to reflect new or evolving regulations.
BCBS239 Compliance Supports principles for risk data aggregation and reporting.		Supports BCBS239 principles, confirmed on vendor regulatory compliance literature.
Custom Regulatory Templates Configuration of new regulatory report templates as needed.		Custom regulatory templates can be configured as required for local regulations.
Permissions for Regulator Access Ability to grant regulators direct or read-only system access.		Read-only and regulator access modes are available per product admin guides.
Data Retention Policy Management Tools for enforcing and modifying data retention schedules.		No information available
Regulatory Validation Tools Built-in utilities to validate and check reports for regulatory accuracy.		No information available

Horizontal Scalability Can be scaled out across multiple servers or cloud nodes.		No information available
Concurrent User Support Maximum number of simultaneous users supported without degradation.		No information available
Throughput Number of risk computations or transactions the system can process per unit time.		No information available
Fault Tolerance System continues operation despite hardware/software failure.		No information available
Disaster Recovery Readiness Support for rapid recovery from catastrophic failures.		No information available
Batch Risk Processing Window Time required to process end-of-day or batch risk calculations.		No information available
Load Balancing Distributes workloads as needed for optimal resource usage.		No information available
Elastic Cloud Scaling Dynamic allocation of cloud resources based on load.		No information available
Peak Data Volume Handling Maximum data volume that can be handled without system outage.		No information available
Low Latency User Response Average latency for user queries or dashboard interactions.		No information available

Role-Based Access Control User permissions based on roles and responsibilities.		No information available
Multi-Factor Authentication Requires more than one authentication method for access.		No information available
Data Encryption In-Transit Encrypts data as it travels across the network.		No information available
Data Encryption At Rest Stores data encrypted on disk/database.		No information available
Single Sign-On Integration Integration with SSO frameworks (e.g., SAML, OAuth).		No information available
Fine-Grained Data Access Granular control over data visibility at user or group level.		No information available
Audit Trails Comprehensive logging of user activities and data access.		No information available
Regular Security Patching System receives and applies timely security updates.		No information available
Penetration Testing Support System is regularly tested for vulnerabilities.		No information available
Custom Access Policies Configuration of organization-specific combinations of roles and permissions.		No information available

Equities Support for equity shares and equity derivatives.		No information available
Fixed Income Supports government, corporate bonds, and fixed income derivatives.		No information available
Foreign Exchange (FX) Supports spot, forwards, options, and FX derivatives.		No information available
Commodities Handles commodities and their derivatives (options, futures, swaps).		No information available
Interest Rate Derivatives Supports swaps, caps/floors, and other IR derivatives.		No information available
Credit Derivatives Support for CDS, CDO, CLN, etc.		No information available
Structured Products Able to model and risk-manage bespoke structured products.		No information available
Exotic Instruments Models complex, path-dependent, or non-standard products.		No information available
Securitized Products Covers ABS, MBS, CMOs, and other securitized assets.		No information available
ETFs and Index Products Coverage of ETFs, index options/futures, and related instruments.		No information available

Model Inventory Comprehensive register of all models in use and in development.		No information available
Model Life Cycle Tracking Tracks model inception, approval, usage, and retirement/disposal.		No information available
Validation Workflow Facilitates and enforces the workflow for periodic model validation.		No information available
Performance Benchmarking Compares model outputs against benchmarks or alternatives.		No information available
Override and Adjustment Logging Logs any manual overrides or judgements applied to model output.		No information available
Model Documentation Repository Central storage for all model-related documents.		No information available
Automatic Alerting for Model Failures System-generated alerts for model breakdowns, errors, or threshold breaches.		No information available
Independent Model Review Support Tools for supporting independent review and challenge.		No information available
Version Control for Models Tracks version history of model implementations.		No information available
Ongoing Calibration Tools Built-in utilities for recalibrating and tuning model parameters.		No information available

Front Office System Integration Connects with core trading and order management systems.		No information available
Back Office System Integration Synchronization with settlement and accounting platforms.		No information available
API Availability REST, SOAP, or other APIs for programmatic integration.		No information available
Batch File Import/Export Automated processing of bulk data through flat files.		No information available
Real-Time Messaging Support Integration with message buses (Kafka, MQ, etc.) for event-driven processes.		No information available
Third-Party Plug-In Support Allows extension of system functionality via plug-ins.		No information available
RegTech Integration Seamless connection with regulatory technology vendors/platforms.		No information available
Data Mapping Tools Graphical interfaces to map and transform data formats.		No information available
Master Data Management Support Integration with MDM solutions for consistent enterprise data.		No information available
Custom Integration Scripting Facilities for scripting bespoke data flows or workflows.		No information available

Comprehensive Audit Trails Detailed logs of all system activity, data manipulations, and user actions.		No information available
Computation Traceability Ability to trace each output metric back to source data and calculation path.		No information available
Change Management Logging Records configuration and model parameter changes with timestamps.		No information available
Access Logging Every system access (login/logout) is logged for audit purposes.		No information available
Automated Exception Logging Automatically records system- and calculation-level anomalies.		No information available
Report Generation Logging Tracks who generated each report and when.		No information available
Data Change Alerts Proactive alerts if unexpected data changes are detected.		No information available
External Audit Support Facilities to export audit logs for external audit review.		No information available
Retention Policy Enforcement Automates log and data retention/deletion per policy.		No information available
User Comment Logging Capability for users to annotate actions and outputs for later reference.		No information available

Cloud Deployment Option Availability of SaaS/cloud deployment as well as on-premise.		No information available
On-Premise Deployment Option Option for complete deployment within client data center/environment.		No information available
Containerization Support System can be deployed using Docker, Kubernetes, or similar technologies.		No information available
Regular Upgrades/Updates Frequency and ease of system version upgrades.		No information available
24/7 Vendor Support Around-the-clock support for incidents and queries.		No information available
Service Level Agreements (SLAs) Vendor provides measurable performance and uptime guarantees.		No information available
Dedicated Account Management Assigned client manager for support and escalation.		No information available
Training and Knowledge Base Access to user training, manuals, and learning resources.		No information available
Automated Monitoring & Health Checks System self-monitoring and health status reporting.		No information available
Sandbox/Test Environment Ability to establish parallel non-production environments.		No information available

Real-time Data Feed Support Ability to connect with real-time data feed providers for live market prices.		No information available
Historical Data Storage System's ability to store and retrieve historical market data.		No information available
Vendor Flexibility Number of different data vendors the system can connect to (e.g., Bloomberg, Reuters).		No information available
Data Cleansing Tools Tools provided to clean, deduplicate, and correct inconsistent or missing market data.		No information available
Frequency of Data Updates How frequently the system updates market data.		No information available
Custom Instrument Mapping Ability to map proprietary or custom instruments to market data feeds.		No information available
Automated Error Handling System automatically flags and manages data anomalies or failures.		No information available
Scalability for Data Volume Capability to handle increasing data volumes without performance loss.		No information available
Market Data Audit Logs Ability to log and trace all data changes or feeds for compliance.		No information available
Data Encryption In Transit/At Rest Ensures all market data is encrypted for security purposes.		No information available
Latency in Data Processing Average system delay in processing and making data available.		No information available
Support for Alternative Data Ability to ingest and process non-traditional market data (e.g., satellite, social media).		No information available

Value-at-Risk (VaR) Calculation Support for different VaR methodologies (historical, parametric, Monte Carlo).		No information available
Expected Shortfall Capability to calculate and report Expected Shortfall (ES or CVaR) as per regulatory requirements.		No information available
Scenario Analysis Ability to define, run, and analyze results from hypothetical scenarios.		No information available
Stress Testing Framework Comprehensive system to create and execute stress test scenarios on portfolios.		No information available
Risk Sensitivities (Greeks) Computation of sensitivities such as delta, gamma, vega, rho, theta.		No information available
Aggregation of Risk Results Ability to consolidate risk metrics across multiple portfolios or entities.		No information available
Customizable Risk Metrics Define and calculate custom risk metrics as per business needs.		No information available
Calculation Speed Time taken to perform full risk calculations on a production-size portfolio.		No information available
Multi-Currency Capabilities Handle risk computations across portfolios denominated in different currencies.		No information available
Intraday Calculation Support Run full or incremental portfolio risk calculations multiple times a day.		No information available
Backtesting Tools Support for backtesting risk models against historical data.		No information available
Model Risk Management Tools for model validation, calibration, and version control.		No information available

Asset Class Coverage Number of different asset classes supported (equities, FX, fixed income, commodities, derivatives, etc.).		No information available
Exotic Derivatives Support Ability to handle complex and bespoke financial instruments.		No information available
Structured Product Modeling Support for risk assessment of structured and hybrid products.		No information available
Custom Instrument Modeling Able to define and integrate models for custom or new instruments.		No information available
Cross-Asset Risk Calculation Can calculate risk for portfolios with mixed asset types.		No information available
Market Conventions Flexibility Customize market conventions (day count, roll dates, etc.) for different markets.		No information available
Instrument Template Library Library of pre-built templates for standard instruments.		No information available

Concurrent User Support Number of users who can use the system without performance issues.		No information available
Parallel Processing System can distribute risk calculations across multiple CPUs/cores.		No information available
Batch Processing Speed Throughput of batch risk calculations.		No information available
Horizontal Scalability Ability to add hardware to increase system capacity.		No information available
Cloud Deployment Support Whether the system can be deployed in a cloud environment.		No information available
Load Balancing Distributes workloads evenly across computing resources.		No information available
Disaster Recovery Ability to recover operations quickly after a failure.		No information available
High Availability Supports clustering, failover, or redundancy for uptime.		No information available

Web-based UI Access risk analytics via a browser-based interface.		No information available
Dashboard and Visualization Tools Interactive dashboards for visualizing risk data and trends.		No information available
Customizable Reporting Create and export custom reports with desired metrics.		No information available
Role-Based Access Controls Specify what information and functionality each user can access.		No information available
API Access Expose risk outputs and analytics via standard APIs.		No information available
Accessibility Compliance UI conforms to accessibility standards (e.g., WCAG).		No information available
Real-Time Alerts and Notifications Notify users of breaches, errors, or important risk events instantly.		No information available
Localization/Internationalization Supports multiple languages and regional formats.		No information available

Core Banking System Integration Connect with core banking software for trade and position data.		No information available
Regulatory Reporting Output Produce files and formats compliant with regulatory submissions.		No information available
ERP/Accounting Integration Share risk data with enterprise resource planning (ERP) and accounting platforms.		No information available
Data Import/Export Flexible import/export of data in multiple standard formats (CSV, XML, JSON, etc.).		No information available
Message Bus/Queue Support Can receive and send messages via standard messaging middleware (e.g., Kafka, RabbitMQ).		No information available
Third-Party Plug-in Support Platform allows extensions or plug-ins for new analytics.		No information available
API Documentation Completeness Degree of coverage and clarity in the product's integration documentation.		No information available

Two-Factor Authentication Requires multiple credentials for user login.		No information available
User Access Logging Tracks who accessed which data and operations.		No information available
Data Encryption at Rest Risk data is encrypted while stored.		No information available
Data Encryption in Transit Risk data is encrypted when sent across networks.		No information available
Granular Permission Management Fine-grained control of user actions (read, write, export, etc.).		No information available
Compliance Certification Adheres to security standards like ISO 27001, SOC 2.		No information available
Automated Intrusion Detection Monitors for suspicious activity automatically.		No information available

Basel III Compliance Features tailored to Basel III risk management and reporting requirements.		No information available
FRTB (Fundamental Review of the Trading Book) Capability Support for FRTB requirements regarding the distinction between banking and trading book risks.		No information available
Audit Trail Completeness All actions and changes logged for audit purposes.		No information available
Compliance Update Frequency How often the product's compliance libraries are updated to reflect new regulations.		No information available
Reporting Templates for Regulators Pre-built templates for regulatory risk reporting (e.g., COREP, Dodd-Frank).		No information available
Data Retention Policy Configuration Ability to configure how long sensitive data is stored to meet jurisdictional requirements.		No information available

Data Lineage Tracking Track the source, transformation, and movement of risk data across the system.		No information available
Master Data Management Central repository for key reference data (counterparty, instrument, etc.).		No information available
Automated Data Quality Checks Predefined and custom rules to verify accuracy and consistency of data.		No information available
Data Versioning Ability to roll back to earlier versions of data sets.		No information available
User Data Override Logging Tracks manual changes made by users for compliance.		No information available
Data Recovery Capabilities Ability to recover and restore data after corruption or loss.		No information available

24/7 Support Availability Round-the-clock technical and operational support.		No information available
Service Level Agreement (SLA) Uptime Guaranteed system availability percentage as per SLA.		No information available
Release Frequency Frequency and regularity of maintenance releases and patches.		No information available
Online Knowledge Base Self-service documentation, FAQs, and troubleshooting guides.		No information available
Upgrade Automation Automated process to apply updates and upgrades.		No information available

Algorithmics Market Risk Management from SS&C Technologies

Product analysis by function

Market Risk Systems for Risk Management

Market Data Integration (9 Yes /9 Known /11 Possible features)

Risk Calculation Engine (11 Yes /11 Known /12 Possible features)

User Interface and Reporting (9 Yes /9 Known /10 Possible features)

Regulatory Compliance (8 Yes /8 Known /10 Possible features)

Performance & Scalability (0 Yes /0 Known /10 Possible features)

Security and Access Control (0 Yes /0 Known /10 Possible features)

Product Coverage (0 Yes /0 Known /10 Possible features)

Model Risk Management (0 Yes /0 Known /10 Possible features)

Integration and Interoperability (0 Yes /0 Known /10 Possible features)

Audit, Logging & Traceability (0 Yes /0 Known /10 Possible features)

Deployment, Maintenance & Vendor Support (0 Yes /0 Known /10 Possible features)

Market Data Integration (0 Yes /0 Known /12 Possible features)

Risk Calculation & Analytics (0 Yes /0 Known /12 Possible features)

Product Coverage (0 Yes /0 Known /7 Possible features)

Performance and Scalability (0 Yes /0 Known /8 Possible features)

User Interface and Usability (0 Yes /0 Known /8 Possible features)

Integration and Interoperability (0 Yes /0 Known /7 Possible features)

Security (0 Yes /0 Known /7 Possible features)

Regulatory Compliance (0 Yes /0 Known /6 Possible features)

Data Management & Quality (0 Yes /0 Known /6 Possible features)

Support, Maintenance, and SLAs (0 Yes /0 Known /5 Possible features)