Our consultant team has over 10 years of experience in providing both advisory services and software implementation services. We built a team of experts to help financial institutions in many fields such as IFRS 9, Basel II/III, ALM, Market Risk, Operational Risk, FTP, treasury platforms, reconciliation engines and so on.
We believe even the best software needs the best people for a successful project. Our track record of 50+ implementation is the proof of what we can achieve together in your organization.
We help financial institutions in all areas of IFRS 9 and IRB model development including validation and benchmarking.
Full modeling cycle includes, data development & segmentation, factor generation, factor transformation, single factor analyses, multi-factor analyses, final model estimation and add-ons.
Various techniques for TtC to PiT conversion and PD curve fitting e.g. Markov Chain, Survival Regression, Pluto Tasche PD Model etc.
Valuation of collaterals and estimation of haircuts.
Advisory for other modeling inputs like indirect costs and discounting
End-to-end modeling process for CCF covers; determination of limit utilization behaviour, bucketing, estimation.
Wide range of methods from purely statistical analyses to mostly export judgements.
Tailor-made model development based on the internal data or focused on a particular industry and/or region.
Our training programme is highly interactive and addresses practical difficulties or tips of the covered topic. The list of courses we offer;
- Various VaR techniques; Monte Carlo, Historical Simulation, BRW, Hull & White
- Advanced measures; Expected shortfall, Extreme Value, Kernel Smoothed VaR, Cornish Fisher Expansion etc
-LGD and haircut modeling, data challenges, different approaches
-Macro sensitive model building and scenarios
-Replicating portfolios for non-maturing products
-Basel III: LCR & NSFR
- Static and dynamic analyses
-Useful report templates
- Funding curve calculation methods
- Transfer pricing, spreads and liquidity premium
- Bonus: Non-Maturing contracts
Please contact us for upcoming trainings or any training requests.