Quantitative Consulting

we support our clients either with a team or with individual experts

Our Services

We have many years’ hands-on experience in quantitative model development and validation. This ensures that we can find a good balance between business and regulatory requirements, IT limitations and mathematical soundness.  

We are also continuously involved in research activities, so that we stay as hard-core quantitative researchers and can tackle versatile and challenging tasks given by the clients.

Our services to banks and similar institutions include the development or validation of

  • Counterparty credit risk models: PFE, EEPE and XVA calculations for financial products across asset classes; calibration of model parameters; backtesting of model choices; IMM benchmark; SA CCR benchmark
  • Pricing models: interest rate products, credit derivatives, FX, equity and commodities, banking-book loans, etc.
  • Market risk models: FRTB-IMA; FRTB-SA; Basel3; Basel4
  • Credit risk models:Economic capital; risk allocation; stress testing framework; Ex-ante pricing of loans; RaRoC
  • ALM models: interest rate models and behavior models
  • Liquidity risk models: Net-Stable Funding Ratio and Liquidity Coverage Ratio
  • Data related: data outlier detection and gap filling; data proxy methodology

Our services to e-trading firms and FinTech clients encompass

  • Time series analysis and prediction: second-level, minute-level, hourly or longer horizons; econometric models and machine learning based models
  • Crypto currency products: fast pricing and calibration
  • FinTech credit risk models
  • Backtesting of trading strategies
  • Development of financial products, etc.

Examples of Past Assignments

Counterparty Credit Risk and MtM pricing of financial instruments

Validation of PFE and EEPE simulation engine

Validation of MtM pricing and sensitivities for bonds, futures, and IR, Credit and FX derivatives.

Validation of XVA and FVA calculations

Other risk models

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

Time series analysis and prediction

Prediction model of the FX market using various machine learning methods and econometric models

Development of the proxy methodology for backing filling FX volatilities, FX forwards and IR curves

Contact Us

 Office Address:

De Corridor 5, room 13, 3621 ZA Breukelen, the Netherlands


(+31) 0633 80 7226


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