We are the team of highly qualified Quant professionals who have worked in investment banking, risk management, trading and consulting with advanced qualifications such as PhD/Master’s in Finance, Economics, Machine Learning, Statistics, Mathematics and Financial Economics.
- Credit risk models (CVA, PD-LGD models)
- Market risk models (VaR, IM, VM) and
- Model risk
- Automating testing processes in VBA
We have extensive experience in stress testing, CCAR, scenario analysis and back-testing. We have performed model validations for futures, forwards, options, swaps, CDS, CDXs and other structured derivatives.We investigate key aspects of each model under review: choice of model, its correct implementation and optimal use of the model.