Global investment bank


Quantitative consulting


The client requested us to review and validate the prepayment model along with the main delta EVE and delta NII models.

The outcome of this project was full model validation and the model documentation provided by our team.

  • Multinational bank with more than 80,000 employees and over $800 Billion AUM
  • One of the largest banks in the world
  • Regional specifics for mortgage prepayments had to be considered in detail
  • Coordination with stakeholders from different regions and legislation in a global organisation was crucial
Project Delivery
  • Our team analysed the conceptual soundness, limitations and assumptions of delta EVE, delta NII and the feeder mortgage prepayment model
  • We reviewed the technical implementation of the model and implement alternative models and prototype to assess and quantify the impact from certain model limitations
  • Our team delivered a full model validation documentation along with the technical implementation of alternative models
  • Flexibility and Control
  • Quality Solution
  • In time and budget
  • Python
  • Pandas
  • Microsoft SQL
  • Jupyter Notebook
  • Data Visualization
  • Microsoft Excel
  • LateX
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