Combining econometric expertise with technical skill to create sound and reliable models
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
Market risk is one of the main risks borne by financial institutions. Proper measurement and management of market risks is of the utmost importance not just to be regulatory compliant, but also to optimize profitability. Within market risk, we have a vast experience creating and validating ALM models, IRRBB models, FX models and prepayment models.
Liquidity risk is firmly rooted in the banking sector with extensive regulatory focus on liquidity represented in the pillar I capital requirements through the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) and in Basel Pillar II in the Internal Liquidity Adequacy Assessment Process (ILAAP). RiskQuest has experience in modelling of liquidity risk and validation of liquidity risk models.
Improving the IRRBB model at a bank
In order to be ready for the upcoming ICAAP, the IRRBB framework needed improvement
Validation Liquidity Risk model
Validation of liquidity models at a development bank