Internal Risk Models For Credit And Market Risk

Client

Global investment bank

Description

Our client uses internal risk models to calculate the Pillar 1 capital requirement.
We assisted our client to develop and validate the internal credit risk and market risk models.

The outcome of this project was a review and implementation of PD, conversion factor, loss ratios for credit risk models and market risk models.We started from designing the concept, assisted further with technical implementation performing comprehensive test suite and supported the client with model application process.

Profile

Multinational bank with more than 100,000 employees and over $500 Billion AUM
One of the largest banks in the world

Challenges

Complicated landscape of regulatory requirements
Tight timeline and changing market conditions

Project Delivery

Our team started from designing the concept, assisted further with technical implementation performing a comprehensive test suite and supported the client with a model application process
We documented the outcome of model development, technical implementation and all the analysis performed by our team
Our team further assisted the client with model approval process with the regulator and consequent model application process

Features

Flexibility and Control
Quality Solution
In time and budget

Technologies

Python
C++
Pandas
Microsoft SQL
Data Visualization
Microsoft Excel

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Internal risk models for credit and market risk

Client

Category