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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.

CENTRAL BANK MONITORING III/2023

Inflation continues to slowly fall in most of the countries under review, but remains high. After a pause in June, the US Fed raised the key interest rate range again in July, with other central banks also raising their rates. By contrast, in Poland the rates have already been lowered. Spotlight focuses on the communication of central bank forecasts and their related uncertainties. In our selected speech, BoE Deputy Governor Dave Ramsden describes the bank’s experience to date with quantitative tightening. The current issue is available here.

MONETARY POLICY DECISIONS

Inflation continues to decline but is still expected to remain too high for too long. The Governing Council is determined to ensure that inflation returns to its 2% medium-term target in a timely manner. In order to reinforce progress towards its target, the Governing Council today decided to raise the three key ECB interest rates by 25 basis points. Explore the full article here.

EBA PUBLISHES THE RESULTS OF ITS 2023 EU-WIDE STRESS TEST

The European Banking Authority (EBA) published the results of its 2023 EU-wide stress test, which involved 70 banks from 16 EU and EEA countries, covering 75% of the EU banking sector assets. This stress test allows supervisors to assess the resilience of EU banks over a three-year horizon under both a baseline and an adverse scenario. The adverse scenario is characterised by severe negative shocks to economic growth, higher unemployment combined with higher interest rates and credit spreads. In terms of GDP decline, the 2023 adverse scenario is the most severe used in the EU wide stress up to now. The individual bank results promote market discipline and are used as part of the EU supervisory decision-making process.

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

Aggregate Common Equity Tier 1 ratio up to 15.53% in first quarter of 2023. Aggregated annualised return on equity up to 9.56% in first quarter of 2023. Aggregate non-performing loans ratio (excluding cash balances) decreased to 2.24%. Share of loans showing significant increase in credit risk (stage 2 loans) decreased to 9.31%. Read the full article here.

PERCEPTIONS OF RISK AND POLICY OUTLOOK DRIVE MARKETS

Perceptions of the future path of monetary policy shaped markets as central banks continued their fight against inflation. A benign assessment of the risk landscape supported risky asset valuations, notwithstanding subdued earnings forecasts. EME asset performance was generally strong but was also sensitive to AE financial conditions and to the ebb and flow of the US dollar. Continue reading.

THE TWO-REGIME VIEW OF INFLATION

The global surge of inflation that started in 2021 took most observers by surprise. It threatened to thrust the world back into an inflationary environment that we thought we had finally escaped decades ago. This study – prepared by BIS staff – documents the stylized facts describing the two regimes – low and high inflation – and the transitions between them based on disaggregated price dynamics and the joint behaviour of wages and prices.

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.