Risk Control works with a number of major institutions on regular updates of the parameters employed in their risk models. These include spreads, term structures, factor correlations, loss-given default distributions and parameters of internal ratings models.
The fact that we regularly calibrate our own models (both for internal purposes and in a bespoke fashion for clients) gives us a very practical grasp of calibration issues. We are, therefore, well-placed to assist other clients with the calibration of their own risk models.
Our team of statistical analysts apply their experience and expertise to supply convincing calibrations in a highly effective way.
See some of our related insights
Rating Correlations and Macro Stress Testing
Top-down and Performance-based SME Probabilities of Default
Here are some example assignments completed:
For a large bank, we perform annual calibration of risk parameters for a portfolio credit risk model used in Pillar II calculations.
For a large asset manager, we compute default probabilities for counterparties (rated or not) that are used in Pillar II credit risk capital calculations.
For a large bank, we implemented a full set of calibrations for a multi-asset, balance-sheet-wide Pillar II capital computation.