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.