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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.
Product analysis by function
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)
Real-Time Data Feeds
Supports real-time streaming data from exchanges and data providers.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
Algorithmics monitors and tracks data quality as part of its risk data framework.
Support for Multiple Currencies
Handles data in various global currencies.
Yes - has this feature
Documentation and marketing confirm support for multiple global currencies.
Risk Calculation Engine
(11 Yes /11 Known /12 Possible features)
Value-at-Risk (VaR) Calculation
Built-in models for calculating portfolio and asset VaR.
Yes - has this feature
The platform includes advanced VaR models as a key offering.
Expected Shortfall (ES)
Supports calculation of Expected Shortfall for advanced risk analytics.
Yes - has this feature
Expected Shortfall (ES, CVaR) is a supported methodology per product overview.
Stress Testing
Scenario and historical stress test capabilities.
Yes - has this feature
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.
Yes - has this feature
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.
Yes - has this feature
Distributed and parallelized risk calculations mentioned in performance documentation.
Custom Model Integration
Allows for integration of user-developed risk models.
Yes - has this feature
Documentation allows integration of custom and user-developed models.
Monte Carlo Simulation Capability
Ability to run large-scale Monte Carlo risk simulations.
Yes - has this feature
Monte Carlo simulation methods are a flagship capability of Algorithmics.
Backtesting Functionality
Built-in functionality to backtest risk model performance against actual outcomes.
Yes - has this feature
Explicitly described as supporting backtesting of risk models.
Risk Aggregation
Aggregates risk across asset, business line, and geographical hierarchies.
Yes - has this feature
Risk aggregation is mentioned as a solution feature for enterprise risk reporting.
Correlation Handling
Ability to model and utilize asset correlations in risk calculations.
Yes - has this feature
Correlation and dependency modeling available for multi-asset risk assessments.
Non-linear Instruments Support
Handles exotics and path-dependent instruments (e.g., options, swaps).
Yes - has this feature
Explicit handling of exotics and non-linear instruments is stated as part of model library.
User Interface and Reporting
(9 Yes /9 Known /10 Possible features)
Customizable Dashboards
Users can tailor dashboards to display relevant risk metrics.
Yes - has this feature
Dashboards are configurable at user/profile level per product documentation.
Ad-Hoc Reporting
Capability for users to build custom queries and reports on demand.
Yes - has this feature
Custom/Ad-hoc reporting is listed in SS&C Algorithmics solution features.
Scheduled Reporting
Supports automated generation and distribution of regular risk reports.
Yes - has this feature
Capacity to automate scheduled regulatory and management reporting is described.
Data Export Functions
Export results to Excel, PDF, CSV, or BI tools.
Yes - has this feature
Exports to Excel, CSV, and other standard formats documented on product site.
Interactive Visualization
Enables dynamic charting and drill-downs into risk data.
Yes - has this feature
Interactive dashboards and visualizations are referenced in marketing and user guides.
Web-Based Access
Accessible via browser-based GUI for remote users.
Yes - has this feature
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.
Yes - has this feature
APIs available for external system and BI/reporting tool integration.
Alerting and Notifications
Notifies users when risk limits are breached.
Yes - has this feature
Alerting including limit breach notifications is described in solution sheets.
Role-Based Views
User roles govern data visibility and interface features.
Yes - has this feature
Role-based view and access controls are standard for enterprise deployment.
Multi-Language Support
UI available in multiple languages.
No information available
Regulatory Compliance
(8 Yes /8 Known /10 Possible features)
Basel III/IV Compliance
Pre-built modules for regulatory calculation and reporting.
Yes - has this feature
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).
Yes - has this feature
Automated regulatory templates and report generation described on vendor site.
Audit Logging
Logs all access and changes for audit and compliance tracking.
Yes - has this feature
Comprehensive logging of user actions and data changes for compliance audit.
Model Governance & Documentation
Stores model documentation, approvals, and ongoing validation results.
Yes - has this feature
Model documentation, approvals, validation, and governance are all core solution elements.
Regulatory Change Updates
System is updated to reflect changes in major regulations.
Yes - has this feature
Algorithmics is regularly updated to reflect new or evolving regulations.
BCBS239 Compliance
Supports principles for risk data aggregation and reporting.
Yes - has this feature
Supports BCBS239 principles, confirmed on vendor regulatory compliance literature.
Custom Regulatory Templates
Configuration of new regulatory report templates as needed.
Yes - has this feature
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.
Yes - has this feature
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
.
Performance & Scalability
(0 Yes /0 Known /10 Possible features)
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
.
Security and Access Control
(0 Yes /0 Known /10 Possible features)
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
.
Product Coverage
(0 Yes /0 Known /10 Possible features)
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 Risk Management
(0 Yes /0 Known /10 Possible features)
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
.
Integration and Interoperability
(0 Yes /0 Known /10 Possible features)
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
.
Audit, Logging & Traceability
(0 Yes /0 Known /10 Possible features)
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
.
Deployment, Maintenance & Vendor Support
(0 Yes /0 Known /10 Possible features)
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
.
Market Data Integration
(0 Yes /0 Known /12 Possible features)
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
.
Risk Calculation & Analytics
(0 Yes /0 Known /12 Possible features)
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
.
Product Coverage
(0 Yes /0 Known /7 Possible features)
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
.
Performance and Scalability
(0 Yes /0 Known /8 Possible features)
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
.
User Interface and Usability
(0 Yes /0 Known /8 Possible features)
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
.
Integration and Interoperability
(0 Yes /0 Known /7 Possible features)
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
.
Security
(0 Yes /0 Known /7 Possible features)
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
.
Regulatory Compliance
(0 Yes /0 Known /6 Possible features)
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 Management & Quality
(0 Yes /0 Known /6 Possible features)
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
.
Support, Maintenance, and SLAs
(0 Yes /0 Known /5 Possible features)
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
.
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