Helping financial institutions identify, quantify, and mitigate risks.
WHAT WE DO
In today's highly regulated business environment risk management has become a technically complex, costly, and yet essential component of bank operations. Our team helps financial institutions assess and control risks. We bring together academic, technical, and business expertise to design highly customized solutions to the problems our clients face. We deliver unmatched value to our clients by following two principles:
Our experience in applying research-based methods to complex business environments enables us to design highly accurate models fitted to our clients' unique positions.
We believe that full transparency regarding modeling details, including assumptions and limitations, enables our clients make the best use of our models. Therefore, we provide our clients with detailed documentation of model development and implementation, and work closely with them to communicate technically challenging concepts to all levels of the organization.
Our clients include a wide range of financial institutions including commercial banks, federal home loan banks, hedge funds, and risk management advisories.
A large regional U.S. bank
We developed a set of 20 time-zero public firm probability of default models: 1-year and 5-year default probability for ten industrial sectors. The models were subject to regulatory review as part of the bank’s CCAR submission.
A large regional U.S. bank
We performed independent model validation on 14 credit risk DFAST models (PD and LGD). Each validation involved a comprehensive review of Input, Processing, and Output components. For each PD and LGD pair we assessed empirically the PD-LGD correlation and its impact on expected loss.
A small regional U.S. bank
We validated 43 internally-developed balance sheet models, including deposit models, loan models, non-interest expense models, and non-interest income models. For each model the validation focused on assessing the soundness of the selected methodology, which led, in a second phase, to the re-development of 30% of the models. Benchmark models were developed for 24 of the evaluated models.
A Federal-charted Bank
Pursuant to FHFA 2013-AB-07, we validated two newly developed default probability models prior to first use: Banks & Thrifts and Credit Unions. Following our recommendations the models were modified substantially and were approved for initial use after a follow-up, limited scope validation.
A Federal- charted Bank
Pursuant to FHFA 2013-AB-07, we validated a vendor product that is used to calculate the Value at Risk (VaR) for the bank’s annual operational losses, consistent with the Advanced Measurement Approach (“AMA”).