top of page

​NEON RISK CONSULTING

Quantifying Risk, Together

OUR

PURPOSE

When we help our clients better quantify and manage their risks, we contribute to a safer financial system and a more stable economy where people can thrive. 

What we do: 

We are a consulting company with an initial specialization in credit risk modelling. 


We help our clients develop or validate IRB, IFRS 9 and stress-testing models. 


From this initial specialization, we also support our clients in the modelling of ESG risks – with a particular capacity regarding the modelling of climate-related and environmental risks. 


Our expertise covers: 

  • regulatory and accounting requirements, 

  • data (internal/external) strategy and management, and

  • model development or validation. 

Last, but not least, we are cost aware.

We make sure that our daily rates are competitive; and that the frameworks and models we put in place are cost-effective over their life cycles – in terms of: cost of data, time required from analysts to use our models, and cost of review and maintenance. 

Here are some of our recent projects:

  • [French CIB] Development of an IFRS 9 LGD model covering Large-Corporate unsecured exposures 

  • [French banking group] IRB-repair of Financial Institutions rating system (incl. ESG risk drivers)

  • [French CIB] Building of an historical Cost-of-Risk database (15+ years, incl. 2008-9, proforma of current organization)

  • [French banking group] Remediation of the IAA model covering ABCP conduits (securitization) – including the calibration of the correlation parameter (using the Vasicek framework)

  • [French banking group, MRM] Independent-validation of Personal-Finance IRB LGD model 

  • [French banking group] Backtesting of Factoring rating system (including the dilution parameter)

  • [French CIB] IFRS 9 Significant Increase in Credit Risk ('SICR') model backtesting  

 

If you have any questions regarding our value proposal, please contact us at: contact@neonrisk.com

DR_US.png

CREDIT

With 20+ years’ experience, we help our clients develop and validate state-of-the-art credit risk models. We cover all asset classes, incl. securitization and purchased receivables. 

image.png

CLIMATE

We developed new capacities regarding transition and physical risk modelling. Our approach is empirical and best-practices based, with our appropriation of the PACTA and CLIMADA models.

image.png

ESG

We propose to our clients shadow-rating approaches based on ECAIs’ ESG rating policies and historical rating events’ data. This enables to align models to benchmarks, with override capacities. 

ABOUT US

Neon Risk is a dynamic consulting firm driven by shared values: intellectual curiosity, attention to details, and work-life balance. We aim at building a strong track record of clients' satisfaction. Our goal is to be a leading player in our field, making a positive impact on our society and planet through our contribution in the financial sector.

2020

Year of Creation

22

Consultants

48%

Gender Ratio

The city skyline at daytime. Paris, France. Taken from the tour Montparnasse with the Eiff
bottom of page