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.
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:
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regulatory and accounting requirements,
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data (internal/external) strategy and management, and
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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:
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[CIB] Development of an IFRS 9 LGD model –PIT forward looking– covering Large-Corporate unsecured exposures (first of its kind among French banks)
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[Banking group] IRB-repair of Financial Institutions rating system (covered counterparties: Banks, Insurers, Mutual and Alternative-Investment Funds, Independent Brokers and Asset Managers - differentiation and quantification of default risk (PD) - incl. ESG risk drivers' coverage analysis)
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[CIB] Building of an historical Cost-of-Risk database (15+ years, incl. 2008-9, proforma of current organization)
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[Banking group] Remediation of the IAA model covering ABCP conduits (securitization) – including the calibration of the correlation parameter (using the Vasicek framework)
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[Banking group, MRM] Independent-validation of Personal-Finance IRB LGD models
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[Banking group] Backtesting of Factoring rating system (including the dilution parameter)
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[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
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