Risk Model Development & Risk Analytics
We have worked with a host of financial institutions to transform their risk models, helping them to save large amounts in Regulatory Capital charges and assisting them with compliance of complex regulatory requirements.
Our experience and unique skill set bring a new approach to your internal risk models.
We offer a broad range of services, including the development of Internal Models Method (IMM) for Counterparty Credit Risk (CCR). Our projects include impact assessment of regulatory requirements on capital as well as upgrading our client's proprietary libraries to adapt to market changes.
Some of the projects that we have undertaken include:
Engagement Goal:
A bank hired Quaternion Quant Services to help with the renewal and re-approval of Counterparty Credit Models that were to be used for regulatory capital under the Basel III Internal Model Method. They also requested that this be extended across multiple regulatory regimes.
Project Description:
Quaternion was engaged as the lead consulting firm in a long-term program to renew and seek approval for a modern, cross asset class, post-crisis suite of CCR IMM models. The resulting models have been submitted and gained regulatory approval in multiple EU and non-EU regulatory regimes. The overall program of work involved research, development (including prototyping), documentation and submission assistance for a comprehensive suite of models. The work was done to the SR 11-7 standard mandated by the Federal Reserve bank. The regulatory submissions have been successful in multiple regulatory regimes.
Watch this short video to learn more about the Open Source Risk Project. Roland Lichters, formerly Co-Founder of Quaternion and now Co-Head Quantitative Services at Acadia walks you through ORE's history, project and analytics scope and demonstrates how to get started quickly with ORE.
Check out the ORE Academy for a full library of learning materials to discover all the possibilities within ORE.
