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RISK CONSULTING IN BANKING AND FINANCE

We realize projects in the area of credit, market, and operational risk management. Our extensive experience ranges from modelling of risk components, optimization of credit approval and collection processes to implementation of regulatory requirements to reflect needs and capabilities of banks and financial institutions.

 

Scoring Models

  • Application and behavioral scoring
  • Advanced models development, calibration and validation
  • Reject inference approaches
  • Cut-off setting using cost of error weighting

Advanced Methodology for LGD Modeling

  • Cost allocation + data implied discount rate determination
  • Downturn portfolio LGD
  • Methods dealing with incomplete observations (LGD)

Basel II and Economic Capital

  • PD, LGD, EAD and conversion factors modelling and methodology
  • Time series analysis with economic downturn assessment
  • PIT x TTC rating (variable scalar approach)
  • Optimization of Basel II capital requirements IFRS 9
  • Categorization of loans and receivables into stages
  • ECL modelling and optimization
  • back testing and validation

Value at Risk Models

  • Parametric and nonparametric VaR and CVaR models
  • Advanced (e.g. GARCH) correlation and volatility estimations
  • Extreme value theory VaR implementation (EVT VaR)

Capital Optimization

  • Basel II market and operational risk capital calculation
  • Standardized or VaR based approach
  • Stress testing and economic capital allocation
  • Optimal structured finance operations

Valuation of Derivatives

  • Valuation and risk quantification of portfolios of plain vanilla forwards, options, or swaps
  • Advanced stochastic modeling and exotic derivatives valuation
  • Sophisticated hedging with derivative products

Monitoring and reporting

  • Risk reporting on portfolio and single transaction base
  • Monitoring and measuring of market risk exposures

Operational risk

  • Standardised and Advance measurement approaches
  • Operational risk management tools and systems