We're here to help
A team of experts
Our 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.
Model Development
PD, LGD, CCF, Haircut modeling for IFRS9 ECL calculations. PD and LGD modeling for IRB capital. Rating and score card development. FTP modeling. Replication portfolio.
Implementation and Integration
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.
Training
Our training programme is highly interactive and addresses practical difficulties or tips of the covered topic. Our domain experts offer variety of trainings and courses from rating model development to VaR methodologies.
Model Development
We help financial institutions in all areas of IFRS 9 and IRB model development including validation and benchmarking.
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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. -
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. -
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.
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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. -
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. -
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 and System Integration
We have successfully implemented solutions from other vendors in different domains like risk management, treasury platforms, reconciliation solutions, AML, and finance.
Finance Systems
Accounting, reconciliation, budgeting, profitability, business intelligence
Risk & Regulatory Reporting
Market Risk, ALM, Basel II/III/IV, CRD, CoRep, FinRep
Treasury Systems
Front, Mid and Back Office, Limit Management, API's
Training
Our training programme is highly interactive and addresses practical difficulties or tips of the covered topic.
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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 -
ALM - Best practices
-Prepayment modeling
-Replicating portfolios for non-maturing products
-Basel III: LCR & NSFR
-IRRBB
- Static and dynamic analyses
-Useful report templates
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IFRS 9 - Challenges 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
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FTP - Advance methods in FTP
- FTP concepts
- Funding curve calculation methods
- Transfer pricing, spreads and liquidity premium
- Bonus: Non-Maturing contracts