We provide our clients with state-of-the-art risk management tools and consulting services.
Our consulting services bring together quantitative experts with deep knowledge of regional regulatory requirements and a solid understanding of senior management’s expectations. We can supply the profiles and levels of experience required to deliver on the most challenging and time-sensitive projects.
Credit Risk
We help our clients develop, validate and maintain Wholesale and Retail credit risk analytics, methodologies and models.
Our domains of expertise in credit/counterparty quantitative risk management are:
➜ Methods, analytics and models used for: pricing, provisioning (IFRS 9 and CECL), stress-testing (EU and CCAR/DFAST) and economic/regulatory capital.
➜ Risk parameters: Probability of Default (PD), Exposure at Default (EAD/CCF/LEQ), Loss Given Default (LGD), Correlation and Dilution modelling.
➜ Portfolio models: Loss distribution and securitisation modelling. Structured products’ pricing. Empirical calibration of assets' correlations (Vasicek framework).
➜ For the asset classes: Securitization, Corporates (Large and SMEs), Banks and FIs, Sovereigns/Municipalities/PSEs, Specialized Lending (Aircraft, Shipping, Project, Commodity and Real Estate Finance), Private Banking and Retail.
➜ Trading book: adjustments to derivative contracts' valuations (CVA).
➜ Development or independent-validation of models.
Our domains of expertise in credit/counterparty quantitative risk management are:
➜ Methods, analytics and models used for: pricing, provisioning (IFRS 9 and CECL), stress-testing (EU and CCAR/DFAST) and economic/regulatory capital.
➜ Risk parameters: Probability of Default (PD), Exposure at Default (EAD/CCF/LEQ), Loss Given Default (LGD), Correlation and Dilution modelling.
➜ Portfolio models: Loss distribution and securitisation modelling. Structured products’ pricing. Empirical calibration of assets' correlations (Vasicek framework).
➜ For the asset classes: Securitization, Corporates (Large and SMEs), Banks and FIs, Sovereigns/Municipalities/PSEs, Specialized Lending (Aircraft, Shipping, Project, Commodity and Real Estate Finance), Private Banking and Retail.
➜ Trading book: adjustments to derivative contracts' valuations (CVA).
➜ Development or independent-validation of models.