Experts in risk for the world's leading financial institutions

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.

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.