Risk models & quantification
Develop, enhance and validate risk models and indicators — VaR, economic capital, ALM and behavioural models — proportionate to risk materiality.
Valuation, risk measurement and economic capital rely on reliable, documented and validated models. We design and review the models and indicators that inform your decisions.
From VaR modelling to the integration of new asset classes, through behavioural models (deposit run-off, prepayments) and model risk management, we equip risk measurement at the right level of rigour.
What we do
- 01 VaR and economic capital models
- 02 ALM and behavioural models (deposit run-off, prepayments)
- 03 Model validation and model risk management
- 04 Design and industrialisation of stress tests
- 05 Risk indicators proportionate to materiality
- 06 Prudent valuation, IPV and P&L explanation
- Enhancement of an economic-capital model — equity, interest-rate and inflation VaR; integration of new asset classes (real estate, forests, debt funds) — Caisse des Dépôts
- Audit of deposit run-off and mortgage-prepayment behavioural models — La Banque Postale
- Covid-19 stress-testing for microfinance institutions — IFC (World Bank Group)
- Market VaR modelling and calculation of capital requirements — Natixis
Frequently asked questions
What is economic capital?
Economic capital is the internal estimate of the capital needed to cover an institution’s risks over a given horizon and confidence level. It complements regulatory requirements and feeds the ICAAP and resource allocation.
What is model risk management?
It is the framework for controlling model risk: inventory, independent validation, backtesting, governance and monitoring of usage limits, to ensure models remain fit for purpose and documented.
The other areas of expertise
A finance or risk challenge?
Let's discuss your governance, model or compliance topics.