Quantitative Consultation Services
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
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
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
Data Filling and Engineering
Develop tools to fill in missing Forex volatility, Forex forwards and IRC curve data
Completing the correlation matrix for the purpose of stress testing
