Consulting Services

We provide a range of services related to financial and risk modeling to our clients. Our team has developed and implemented numerous models in banks and other financial institutions. Our methodologies are being used in many financial institutions in South-Eastern Europe and we are actively expanding our client list.  Methodologies and services that we offer are ranging from purely regulatory requests regarding Basel methodologies to the following:

 

• Probability-of-default modeling and IRM

• LGD Modeling

• Optimal collateral allocation with respect to credit risk RWA

• Pricing/fair value calculation of derivatives and other complex non-linear products

• Assessing the exposure to operational risk (operational risk VaR)

• Forecasting of treasury and Libor yield curves

• Value-at-Risk (VaR) and Expected shortfall (ES) methodologies (historical and analytical simulation, and Monte Carlo models)

• Back-testing of VaR and ES models

• Running regressions of default rates on macroeconomic variables to determine forward-looking scenarios and Point-in-Time PD transformations

• Forecasting of macroeconomic variables in Point-in-Time PD transformations

• Calculation of historical z-shift parameter based on transition matrix and regressing z-shift on macroeconomic variables to determine forward-looking scenarios and Point-in-Time PD

• Running regressions of LGD on macroeconomic variables to determine forward-looking LGD;

• Credit rating and scoring methodologies for calculating PD

• Risk-based pricing

• Credit rating and scoring methodologies for calculating LGD

• Asset and liability management

• Internal capital assessment (ICAAP) and Internal liquidity assessment (ILAAP) methodologies, as a consulting addition to our ICAAP and ILAAP Assist modules