Advisory Services
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.
Model Development
We help financial institutions in all areas of IFRS 9 and IRB model development including validation and benchmarking.
PD Modeling
PiT and TtC PD modeling, model calibration, benchmark analyses and model validation. 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.
LGD Modeling
Various approaches for LGD and haircut modeling based on data availability; Workout LGD, Market LGD, Empirical LGD, Benchmark LGD. Valuation of collaterals and estimation of haircuts. Advisory for other modeling inputs like indirect costs and discounting
EAD Modeling
Replication portfolio for non-maturing contracts, prepayment modeling and CCF estimation. End-to-end modeling process for CCF covers; determination of limit utilization behaviour, bucketing, estimation.
Macroeconomic Overlay
"Forward looking" view of future, and macro sensitive scenarios for IFRS 9 calculations. Wide range of methods from purely statistical analyses to mostly export judgements.
Rating Models
Ready-to-use models through our partnerships with well-known rating agencies. Tailor-made model development based on the internal data or focused on a particular industry and/or region.
IRB Migration Programme
High-level diagnostic and data analyses, impact analyses, model development and/or model validation, calculation engine implementation, documentation and regulatory review support.
Implementation Services
Training
Our training programme is highly interactive and addresses practical difficulties or tips of the covered topic. The list of courses we offer;
Market Risk - VaR and beyond
- VaR
- Various VaR techniques; Monte Carlo, Historical Simulation, BRW, Hull & White
- Backtesting
- Advanced measures; Expected shortfall, Extreme Value, Kernel Smoothed VaR, Cornish Fisher Expansion etc
IFRS 9 - Challanges and the cures
- PD modeling, PiT to TtC conversion, PD curve fitting
- LGD and haircut modeling, data challenges, different approaches
- CCF modeling
- Macro sensitive model building and scenarios
ALM - Best practices
- Prepayment modeling
- Replicating portfolios for non-maturing products
- Basel III: LCR & NSFR
- IRRBB
- Static and dynamic analyses
- Useful report templates
FTP - Advance methods in FTP
- FTP concepts
- Funding curve calculation methods
- Transfer pricing, spreads and liquidity premium
- Bonus: Non-Maturing contracts