Risk Models
Design, implementation, calibration and validation of risk models. Risk Control has been employed by many leading firms to enhance their models, uplifting to best practice or responding to regulatory audits.
- Model review, design, implementation and validation by multi-disciplinary teams of financial engineers, statisticians, quantitative developers and IT specialists
- Calibration of spreads, term structures, factor correlations, loss-given-default distributions and internal ratings model parameters
- Turning risk registers into transparent measures of capital, blending expert judgement with data-driven quantification
- Devising ESG metrics and bespoke ESG ratings and incorporating ESG effects in credit scoring and portfolio modelling
- Example: for a large bank, multiple model validation reports
- Example: for a large bank, annual calibration of risk parameters for a portfolio credit risk model used in Pillar II
- Example: for a medium-sized bank, a unified application for stress tests and ICAAP measures of risk including Pillar 2 calculations
- Example: for a large insurer, look-through methodologies for risk in portfolios of securitisations
Related research
Capital Adequacy Benchmarking for MDBs
Read the full paper. This report presents a capital adequacy benchmarking analysis for nine prominent Multilateral Development Banks (MDBs), conducted by Risk Control and sponsored by the MDB Challenge Fund. The study aims to implement Recommendation 5 of the…
Full text · figuresData Template for MDB Loans
Multilateral Development Banks (MDBs) are mandated by their shareholder to help Emerging Market and Developing Economies (EMDEs) achieve the 2030 Sustainable Development Goals (SDGs) adopted by United Nations member states in 2015. Recently there have been…
Full text · figuresAnalysis of SDR-Based Hybrid Capital for MDBs
Read the full paper. The African Development Bank (AfDB) and the Inter-American Development Bank (IDB) have co-developed proposals to boost the lending capacity of Multilateral Development Banks (MDBs) using Special Drawing Rights (SDRs) to create MDB hybrid…
Full text · figuresTell us the question. We’ll show you the model.
Every engagement starts with a conversation with the quants who would do the work.