At RiskQuest, our models come with beautiful brains.
We are a consultancy firm that specializes in smart risk models that create order in a complex financial world.
A complex financial world demands robust risk management – and equally robust models are the key to success. Our models help create a better understanding of the underlying factors that drive intricate relationships, bring transparency, lower costs and provide a guide for taking the right decisions.
Yet while models form the core of our services, we perceive them as a means rather than an end. Statistics are no substitute for judgment – the decision makers must understand what a model can and cannot do.
We co-create with our clients, tailor a crucial and unique level of oversight and align the models with their strategies.
RiskQuest advises on …
Fields of interest
Our consultants have experience in the following fields:
We advise institutions on how to align their risk organization with their business strategy and risk appetite. This includes defining 1st, 2nd and 3rd line responsibilities, setting up limit structures, calculating economic capital and putting policies and controls in place.
We help organizations minimize model risk. This could include implementing of a model governance framework, applying conservatism where necessary, rationalizing the model inventory and/or establishing model development standards.
When we build credit rating, PD or LGD models we first clarify the model requirements together with our client. We then start collecting and cleansing the data. Using SAS, MatLab or R, we perform statistical analysis and combine this with expert judgment, to develop credit models that contain just the right risk drivers, not too many and not too few.
We have developed and validated market risk models for the buy side (spread risk, interest rate risk, equity risk, currency risk and property risk) as well as for the sell side (Value-at-Risk, greeks, counterparty credit risk, CVA, stress testing, FRTB)
ALM & IRRBB
We have ample experience in designing scenario models (under both the risk-neutral and the real-world measure) for ALM risk in the balance sheets of banks (IRRBB), insurers and pension funds. In addition, we have developed models for underlying portfolios such as savings (NMD), mortgage prepayments and other embedded options.
The calculation of life time expected loss and the consistent implementation of definitions, such as triggers between stages, use of a default/impairment definitions, point-in-time PDs, etc. require extensive modelling experience. We have a lot of experience in this area.
Sometimes pricing financial instruments is no more complicated than using the right market data and appropriate pricing functions. The valuation of more complex products, however, may require monte carlo simulation to obtain risk neutral valuations. We can advise on both.
We use supervised and unsupervised machine learning algorithms to detect suspicious activities and transactions. Together with our client we tailor proven algorithms to our client’s needs.
Diversification is an important tool to manage risk. To determine diversification effects across different risk types, risks need to be aggregated. This involves choices around marginal loss distributions, correlations, copula functions and technical restrictions. Once aggregated risks can be attributed to business units.
We have validated many models and have ample experience in highlighting the key areas of model performance: is the model fit for use? What are the main areas of model risk? How can the modeller improve the model? Such validation can provide assurance to both management and regulators.
We advise insurance clients and pension funds on actuarial activities such as longevity modelling, interest rate risk, hedging strategies, inflation risk, pricing (premium down), non-life insurance, valuation of embedded options and derivatives and regulatory compliance (nFTK).
We build scorecards that predict client behaviour. This helps our clients make automated decisions, increase efficiency and lower organizational costs. Most commonly these scorecards are used for lending decisions, but other applications are possible too, e.g profitability (RAROC), lapse risk, etc.
Do you manage a mutual fund for private individuals? In that case, your financial information leaflet (EID) must comply with the new European PRIIPs by 2020. Did you know that you have to calculate new yield forecasts instead of past yields? RiskQuest carries out PRIIPs calculations for risk score and return forecasts for closed-end fund managers. Click for more info.
Solvency & Basel regulation
We help our clients meet regulatory requirements, including Solvency II, Basel and EMIR regulations . We can advise on interpretation of regulations and translating those requirements to policies, controls and models.
To optimally benefit from our skills, we actively involve senior consultants at any project. However, to get a job done effectively we do not only involve architects but also brick layers.