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We quantify, analyze and optimize business processes and bring competitive advantages. We understand your business better using modern machine learning and statistical analysis of your data. We do risk analysis, profit optimization, business scenarios evaluation, penetration and attrition rates analysis using wide possibilities hidden in the data.

ECB PUBLISHES SUPERVISORY BANKING STATISTICS ON SIGNIFICANT INSTITUTIONS FOR THE FOURTH QUARTER OF 2023

Aggregate Common Equity Tier 1 ratio at 15.73% in fourth quarter of 2023. Aggregated annualised return on equity at 9.31% in fourth quarter of 2023. Aggregate non-performing loans ratio (excluding cash balances) stable at 2.30%. Statistics include breakdown of non-performing loans ratios by counterparty sector for first time. Share of loans showing significant increase in credit risk (stage 2 loans) rose to 9.74%. Access the full content here.

THE EBA UPDATES THE PILLAR 3 DISCLOSURE FRAMEWORK FINALISING THE IMPLEMENTATION OF THE BASEL III PILLAR 3 FRAMEWORK

The European Banking Authority (EBA) published a final draft implementing technical standards (ITS) on public disclosures by institutions that implement the changes in the Pillar 3 disclosure framework introduced by the amending Regulation (EU) 2024/1623 (CRR 3). These ITS will ensure that market participants have sufficient comparable information to assess the risk profiles of institutions and understand compliance with CRR 3 requirements, further promoting market discipline. Read the detailed content here.

CENTRAL BANK MONITORING II/2024

Part of the central banks under review, including the ECB, lowered their rates at their recent meetings, while others kept them unchanged. Japan abandoned negative interest rates. A review of the Bank of England’s forecasting process was completed. The Spotlight focuses on comparing the market outlooks for euro area interest rates with the ECB’s communications, in particular on the gap between them at the start of this year. In our Selected Speech, the Governor of the French BdF discusses the current decline in inflation and the question of the level at which interest rates are going to stabilize. Find the latest edition right here.

UNEXPECTED LOSS ESTIMATION – R SHINY

Simple application which demonstrates one of the possible variants of implementing mathematical models in practice, which does not require large financial costs. The mathematical model (in this case it is a basic model for calculating unexpected risk based on the CreditMetrics methodology) is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework. These globally used software tools allow easy implementation of very complex mathematical models and graphically advanced user interfaces.

SCORING DEVELOPMENT APPLICATION – R SHINY

This application is a simple yet effective tool for creating scoring models from initial univariate data analysis to basic validation of the resulting model. The range of methods and tools implemented has been deliberately simplified for this demonstration. If desired, additional functionalities and mathematical methods can be added to ensure that the application meets the needs and methodological requirements of users. The application is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework.

WE SUPPORT CONNECTION WITH UNIVERSITIES BY LECTURING

Credit Risk, Financial Derivatives, Quantitative Investments – University of Economics
Sampling Theory, Data Exploration, Derivatives – Faculty of Mathematics and Physics, Charles University

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RISK CONSULTING IN BANKING AND FINANCE

We realize credit, market, and operational risk management projects. Our rich experiences cover modeling risk components, optimization of credit approval and collection processes, and implementing regulatory requirements to reflect the needs and capabilities of banks and financial institutions.

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BIG WORLD, BIG DATA, STRONG ANALYSIS

Under the current fast development of quantifiable daily growing datasets, there is an enormous need for a systematic analytical approach and tools covering both size and dynamics. Cloud computational power enables to use effectively AI, machine learning, and statistical tools that were not possible five years ago. We bring modern and systematic ways to reveal significant improvements for your processes.

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PROFIT AND BUSINESS PROCESSES OPTIMIZATION

Many practical issues can be effectively handled by mathematical optimization, statistical and big data analyses, neural network models, and other advanced methods. We offer our expert knowledge in applied mathematics, statistics and computer science.

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FROM SCRATCH TO AUTOMATED IT SOLUTIONS

Our Quantitative Approach is based on data organization, analysis, and even final automated solutions. Composing bricks of data setup, analysis, and IT architecture we can tune up our solution from quick win to overall systematic setups including software applications.

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IDEAS

We possess over 20 years of valuable experience. Explore our exciting portfolio of completed projects and discover the diverse range of services we offer by clicking here.

RESEARCH

Our team consists of highly qualified professionals with a solid academic background. We support and occasionally fund the research of our employees. To view our extensive collection of publications, please click here.

CLIENTS

Our clients

  • Leading banks in the Czech Republic, Slovak Republic, Hungary, Slovenia and other countries
  • Leaders in the consumer loan market in the Czech Republic, Slovak Republic and other countries
  • Power-producing leader in the Czech Republic
  • A leading publishing house in the Czech Republic
  • Universities and educational institutions

Implemented projects

  • Scoring models for all client segments
  • Credit methodology complex solutions
  • Basel II implementation support – PD, LGD, and CF models
  • Complex audits and validations of BASEL II and IFRS 9 methodologies
  • Audit and optimization of approval processes and fraud identifications
  • Credit derivatives optimization
  • Training and advisory activities

WE SUPPORT

Quantitative Consulting sponsors several exciting events. We look forward to the positive impact these projects will have and hope to continue our support in the future.