Making sure your institution is regulatory sound and robust to shocks
Main point of focus of RiskQuest is the modelling and validation of credit risk models. Over the last years, there has been an increased focus on credit risk models by both financial institutions and the regulator. RiskQuest is both on top of the regulatory changes and state of the art modelling methodologies to fulfill requirements. RiskQuest developed multiple credit risk models for both the calculation of RWA and provisions. In addition to the standard ranking models for PD, LGD and CCF, RiskQuest has solutions for specific requirements such as incorporation Downturn and Maximum Recovery Period for AIRB LGD models and migration matrices for IFRS9 PD models.
Data and data quality is of paramount importance when developing credit risk models.
We believe that data of sufficient quality is the driving force that separates the good and the great credit risk models.
Together with our clients, we create credit risk datasets that are reliable, complete and usable to create robust, compliant models.
By using RiskQuest's end-to-end credit risk expertise, the focus lies on collecting data from various sources, understanding the collected data and transforming and aggregating data such that it is usable for intended modelling purposes. The process revolves around backtracing from the end-product dataset to the raw data sources, ensuring quality on every step of the way. By using RiskQuest's in-depth knowledge of models, methodologies and data architecture, we provide tailor-made data solutions for every model.
Model implementation stands between a model and its actual usage. It is at this stage that we consider how data flows through the model and how other applications and people will interact with it. Yet don’t make the mistake to only start thinking about implementation at the very end of the modelling phase, or you may find yourself with a conceptually stunning model that cannot be implemented. At RiskQuest we understand the importance of sound implementation and work towards a model that is not only great by design, but also usable in day-to-day business.
We help our clients to manage the risks related to the use of mathematical models in their day-to-day business. These risks refer to the chance of unintended consequences resulting from model development, inputs or outputs.
We achieve this by establishing Model governance which is a set of activities, policies and procedures which formalize model and model risk management activities for implementation. In particular model governance identifies a set of model stakeholders (e.g. model owner, model validator) and defines their roles within the process.
Over the past years, RiskQuest has contributed to the model governance policies for almost all of its clients being Dutch banks, insurers and pension funds.
To be effective in developing, implementing and validating credit risk models, we not only focus on the contents but we also execute the projects. Our project management services combine in depth-knowledge with project management skills. This allows us to plan concrete deliverables with realistic timelines, to identify interdependencies and to effectively communicate with stakeholders.
We believe that only the combination of project management skills with subject matter expertise ensures successful project execution.
Large corporate IRB model validation
Support a large bank in the validation of their large corporate IRB models
Credit risk model IFRS compliant
Developing a credit risk model for the mortgage portfolio of a large insurance bank