Computational Finance & Risk Technologies
We build and validate the financial and risk models, systems and processes that regulated institutions depend on.
Model building and validation
Credit, market and operational risk and pricing models built to meet Basel and IFRS 9 requirements, or independently reviewed.
Model building and validation
Credit, market and operational risk and pricing models built to meet Basel and IFRS 9 requirements, or independently reviewed.
- Rating models, PD, LGD, EAD and ECL
- Independent validation of derivative pricing models across rates, FX, credit and exotic products
- Validation of VaR, CVA and PFE models covering assumptions, benchmarking, back-testing and recalibration
- Initial margin methodology assessment against ISDA SIMM and the regulatory schedule
- Full documentation written for regulatory submission
- Remediation where a model has failed review
Capital and profitability
Measuring how much capital a position consumes and the return it generates.
Capital and profitability
Measuring how much capital a position consumes and the return it generates.
- Regulatory and economic capital computation including Basel III capital adequacy automation
- RWA calculation and optimisation
- Return on capital and RAROC frameworks from method through to system automation
- Risk aggregated across desks, portfolios and entities
Balance sheet, liquidity and regulatory programmes
Modelling balance sheet behaviour under stress, pricing funding across the bank, and preparing for regulatory regimes.
Balance sheet, liquidity and regulatory programmes
Modelling balance sheet behaviour under stress, pricing funding across the bank, and preparing for regulatory regimes.
- ALM and interest rate risk in the banking book
- Liquidity scorecards, buffer assessment and redemption stress testing
- Funds transfer pricing: framework review, curve construction, product mapping, engine selection and implementation
- FRTB: standardised versus internal models assessment, trading and banking book boundary controls, risk factor eligibility and stress testing framework review
- Uncleared margin rules: AANA validation, applicability across UK and EU EMIR, US CFTC and local regimes, and review of collateral and margin processes
Rating and valuation of illiquid exposures
Credit assessment and valuation for borrowers and assets without an external rating or observable price.
Rating and valuation of illiquid exposures
Credit assessment and valuation for borrowers and assets without an external rating or observable price.
- Credit rating and probability of default estimation for unrated, non-traded and SME borrowers
- Valuation using discounted cash flow, net asset value and comparable company approaches
- Scenario and sensitivity analysis around the valuation
- Methodology documented to a standard that supports audit and regulatory review
How we work
Assess what exists, design the approach, build and challenge it, then document and hand over.
Who it's for
Banks, Financial institutions, Asset managers, Investment banks
Several of these capabilities are available as ready-built products. See Solutions.