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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.

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Whether you’re a student eager to apply your theoretical knowledge or an experienced professional seeking a new challenge, explore the opportunities we have in store for you. Join our team and unleash your full potential in a stimulating and supportive environment.

THE EBA CONSULTS ON AMENDMENTS TO THE OPERATIONAL RISK PILLAR 3 AND SUPERVISORY REPORTING REQUIREMENTS TO IMPLEMENT THE BASEL III REFORMS IN THE EU

The European Banking Authority (EBA) launched a public consultation on two draft Implementing Technical Standards (ITS) amending Pillar 3 disclosures and supervisory reporting requirements for operational risk. These consultations complement two additional consultation papers on Pillar 3 and supervisory reporting published on 14 December 2023, in line with the roadmap for the implementation of the EU Banking Package. The consultations run until 30 April 2024. Read the detailed content here.

MONETARY POLICY DECISIONS

The Governing Council decided to keep the three key ECB interest rates unchanged. The incoming information has broadly confirmed its previous assessment of the medium-term inflation outlook. Aside from an energy-related upward base effect on headline inflation, the declining trend in underlying inflation has continued, and the past interest rate increases keep being transmitted forcefully into financing conditions. Tight financing conditions are dampening demand, and this is helping to push down inflation. For more info click here.

THE EBA PUBLISHES ITS HEATMAP FOLLOWING SCRUTINY OF THE INTEREST RATE RISK IN THE BANKING BOOK

The European Banking Authority (EBA) published its heatmap following scrutiny of the interest rate risk in the banking book (IRRBB) standards implementation in the EU. The heatmap discloses policy aspects that will be subject to further scrutiny, and corresponding actions in the short to medium and long term. Explore the full article here.

EBA CONSULTS ON AMENDING THE DATA COLLECTION FOR THE BENCHMARKING EXERCISE IN 2025

The European Banking Authority (EBA) published a consultation paper amending the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2025 exercise. The most significant change is in the market risk framework, where the EBA is proposing brand new templates for the collection of the internal model approach (IMA) risk measures under the fundamental review of the trading book (FRTB). For credit risk only minor changes are being proposed. This consultation runs until 27 March 2024. Continue reading.

THE EBA REVISES REPORTING REQUIREMENTS FOR MARKET RISK

The European Banking Authority (EBA) published amendments to the reporting requirements for market risk. As the implementation of the Fundamental Review of the Trading Book (FRTB) in the EU approaches, the EBA revised the information to be reported on the own funds requirements under the alternative approaches, and adds reporting on reclassifications of instrument between the regulatory books. Read the full article here.

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

Aggregate Common Equity Tier 1 ratio at 15.61% in third quarter of 2023. Aggregated annualised return on equity at 10.01% in third quarter of 2023. Aggregate non-performing loans ratio (excluding cash balances) stable at 2.27%. Share of loans showing significant increase in credit risk (stage 2 loans) rose slightly to 9.29%. Statistics include the ratio of loans and advances with significant increase in credit risk (stage 2) by counterparty and loan type for the first time. Access the full content here.

CENTRAL BANK MONITORING IV/2023

Most of the central banks under review did not change their rates in the last quarter, but a few of them have raised their rates further, while others are gradually lowering them. The ECB has moved to the next phase of the digital euro project, the mandates of the central banks in New Zealand and Australia have changed. Spotlight focuses on monetary policy of the Chinese central bank. In our Selected Speech, SNB Governor discusses the role of monetary policy uncertainty in the context of current economic developments. 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.