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Quantifying Risk, Together



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. 

With our 20+ consultants, 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 (with our appropriation of the PACTA and CLIMADA models). 

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 implementation, review and maintenance. 

Here are some of our recent projects:

  • [CIB] Development of an IFRS 9 LGD model (PIT forward looking) covering Large-Corporate unsecured exposures 

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

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

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

  • [Banking group, MRM] Independent-validation of Personal-Finance IRB LGD models 

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

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


If you have any questions regarding our value proposal, please contact us at:



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. 



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.



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. 


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.


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