Trusted Experts in Quantitative Risk Consultingxpertise
- We are a team of experienced professionals having experience of more than 15 years in Quantitative Risk Consulting.
- We have expertise in Market, Credit and Fraud Risk.
- We have experience supporting our clients in areas of Model Development, Model Validation (SR 11-7), Audit and Advisory support.
Our Market risk capabilities Include :
Models
Structured Products Pricing
Prepay, Default, Severity Models, Agency/Non-Agency MBS, CMO, CMBS, MSR, CMSR
Derivatives Pricing
Swaps, Swaptions, Cap/Floors, Exotics, Convertible Bonds, CDS, FX
Interest Rates and Volatility Modeling
BGM, Hull-White, SABR, Black, Normal
Risk
VaR, Counterparty Risk (CVA, PFE) , Scenario Generation
Model Validation & Remediation, VaR, P&L Attribution, Counterparty Risk, Backtesting, Benchmarking, Basel 3 SSFA, LRM Reporting, Spot Analytics, Horizon Shock Profiles, KRDs, Cash Flow Forecasts, CCAR, Price Verification, Impairment Analysis, Hedge Ineffectiveness, Total Return Analysis
Polypaths (AppPort, BatchCal, Enterprise), Bloomberg, Summit, FINCAD, Yieldbook, ADCo, Intex, QRM, AFT, GPT-4, CoPilot, Claude, Gemini
Programming Skills
Excel VBA
SQL
R
SAS
Python
Our Credit Risk capabilities Include :
Credit Risk Assessment & Scoring
Comprehensive credit scoring models using financial data, market intelligence, and customer behavior.
Dynamic risk rating models based on probability of default (PD), loss given default (LGD), and exposure at default (EAD).
Scenario analysis and stress testing to assess risk exposure under adverse market conditions.
Credit Risk Mitigation
Monitoring and managing collateral to offset credit risk.
Structuring guarantees, credit insurance, and hedging products to mitigate risk exposure.
Default & Recovery Management
Using machine learning and AI-driven models to predict defaults and optimize recovery strategies.
Analyzing recovery rates post-default to refine strategies and improve future credit decisions.
Regulatory Compliance & Reporting
Aligning credit risk management practices with international banking regulations (e.g., Basel II/III, CRD IV).
Accurate and timely reporting to internal stakeholders, regulators, and auditors, using automated reporting tools.
Implementation of internal ratings models for more advanced credit risk measurement and capital adequacy.