we support clients either as a senior quant-team or as individual quant-experts
Our expertise lies in the development and validation of Mark-to-Market pricing models for financial instruments across all asset classes, XVA calculations, as well as fair value calculations for banking book positions.
We are also specialized in researching, developing and validating quantitative risk models of various risk types, either regulatory or non-regulatory.
Other services include, but are not limited to, research and development of portfolio optimization methods taking into account risk metrics, backtesting of trading strategies, application of machine learning techniques in financial risk modeling, etc.
MtM pricing of financial instruments
Validation of MtM pricing and sensitivities for bonds, futures, and IR, Credit and FX derivatives.
Validation of XVA calculations
Risk model development and validation
Fast calculation of RIsk Measures and Risk Contributions in Multi-factor Copula Models
Validation of Net Stable Funding Ratio under CRR2
Re-development of the IRC (Incremental Risk Charge) model under Basel 2.5
Development of the DRC (Default Risk Charge) model under FRTB (Fundamental Review of the Trading Book) IMA (Internal Model Approach)
Development of the NMRF (Non-Modellable Risk Factors) methodologies under FRTB (Fundamental Review of the Trading Book) IMA (Internal Model Approach)
Validation of VaR engine and development of the Risks-not-in-model methodologies
Data proxy and market prediction model
Development of the proxy methodology for backing filling FX volatilities, FX forwards and IR curves
Prediction model of the FX market using various machine learning methods