Case Studies

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  • Client #1

    International Bank

    Fixed Income Risk Management

    Pre-payment Model Integration

    The problem

    Following its acquisition of an independent fixed-income broker-dealer, International Bank requested the integration of the broker-dealer’s third-party non-agency mortgage prepayment model.

    The solution

    • Reviewed documentation of the third-party model conceptual design.
    • Performed sensitivity testing on model response (CPR, CRR, CDR, Severity) across parameter and input variations.
    • Performed comparison of the non-agency mortgage prepayment model to a separate, independently developed, model that was desirable for this type of validation.

    The result

    • Achieved compliance with the requirements of the Bank’s model risk management framework.
    • Enabled the broker-dealer group to continue using a familiar and effective market risk system.
    • Leveraged the prepayment model and experience gained from the broker-dealer across the Bank’s broader risk processes, leading to improved oversight and cost savings.

  • Client #2

    Utility Company

    Energy and Natural Resources

    Power Purchase Agreements

    The problem

    The utility company had the imperative to accurately assess and proactively manage the valuation and risks associated with their renewable Power Purchase Agreements (PPAs), encompassing both fixed-shape and ‘as generated.

    The solution

    • Designed and developed a comprehensive model for valuation and risk analysis.
    • The model used Monte Carlo method to simulate the joint behavior of prices (Price Model) and generation quantities (Generation Model).
    • Price Model is a multi-factor algorithm for evolving various electricity forward curves while matching market inputs and generating prices with required granularity: monthly, daily, hourly.
    • Generation Model is a statistical model used to determine the solar and wind energy output.

    The result

    • Provided a model for a better understanding of the risks associated with investments in the Power Purchase Agreements (PPAs).
    • Developed a comprehensive valuation and risk analysis model enabling senior management to make more informed decisions about investing in PPAs.

  • Client #3

    Credit Rating Agency

    Model Risk Management

    CMBS Models

    The problem

    A prominent Credit Rating Agency sought assistance in validating CMBS models.

    The solution

    • Validated CMBS models.
    • Provided full documentation of the validation process.

    The result

    • Strengthened the quantitative and qualitative aspects of model validation

  • Client #4

    International Bank

    Quantitative Risk Management

    FRTB

    The problem

    International Bank required a comprehensive Risk Factor Inventory and FRTB Implementation.

    The solution

    • Built a complete inventory of Risk Factors.
    • Implemented FRTB SA.
    • Assisted with the implementation of FRTB internal model.

    The result

    • Provided the key component in the bank’s FRTB project.

  • Client #5

    Asset management firm

    Model Risk Management

    Algo Trading Models

    The problem

    Asset Management Firm requested the validation of two algo-trading models.

    The solution

    • Assessed the conceptual soundness of models, ensuring the accuracy and appropriateness of model parameters.
    • Executed comprehensive model testing to validate its functionality and performance.
    • Devised and implemented robust Model Performance Monitoring system to ensure that algo-trading models operate according to their intended specifications.
    • Designed and implemented a Model Risk Control process specifically tailored for algo-trading models.
    • Effectively communicated and presented the outcomes and findings to clients.

    The result

    • Model adhered to regulatory requirements and industry standards.

  • Client #6

    Utility Company

    Market Risk Management

    Energy Risk Analytics

    The problem

    The utility company had the imperative to accurately assess and proactively manage the valuation and risks associated with their renewable Power Purchase Agreements (PPAs).

    The solution

    • Designed and developed a comprehensive model for valuation and risk analysis.
    • The model used the Monte Carlo method to simulate the joint behavior of prices (Price Model) and generation quantities (Generation Model)

    The result

    • Provided a model for a better understanding of the risks associated with investments in the Power Purchase Agreements (PPAs).
    • Developed a comprehensive valuation and risk analysis model enabling senior management to make more informed decisions about investing in PPAs

  • Client #7

    International Bank

    Quantitative Risk Management

    Market Risk Analytics

    The problem

    The International Bank’s Market Risk Management Department needed advanced analytical tools for market risk assessment.

    The solution

    • Designed, built, and oversaw the implementation of a novel Monte Carlo simulation engine to model multivariate distribution with fat tails.
    • Designed new model calibration procedures.
    • Performed advanced PCA for FX and interest rate factor simulation

    The result

    • Created a new VaR model significantly superior to the existing Gaussian VaR model.
    • Experienced far fewer VaR exceedances, leading to the regulator’s subsequent acceptance of the model/syste

  • Client #8

    International Bank

    Quantitative Risk Management

    Credit Risk Analytics

    The problem

    The International Bank’s Credit Risk Management Department sought to enhance credit risk assessment.

    The solution

    • Developed advanced credit models to identify mispriced risks in various markets.
    • Created tailored risk metrics for precise risk tracking.
    • Addressed sector-specific overexposures to optimize the risk-reward profile

    The result

    • Mitigated risks from complex credit derivative positions.
    • Identified and mitigated exposures from sector overconcentration.
    • Created a model responsive to market volatility.
    • Proposed actionable trades for risk optimization

  • Client #9

    International Bank

    Design of Scenario Analysis Platform

    Robust Scenario Expansion

    The problem

    Design a meaningful scenario analysis platform requiring thousands of variables for internal stress testing.

    The solution

    • Developed a model that transforms core variables into comprehensive scenarios.
    • Delivered training within 4 weeks.
    • Customized the model to meet bank-specific requirements within 2 months.

    The result

    • Management and board queries, as well as stress testing scenarios, are now addressed within minutes.
    • Results are validated through automated back-testing for continuous model verification.

  • Client #10

    International Bank

    Data Engineering and AI

    GenAI Narrative

    The problem

    To improve decision-making, an international bank needed a more efficient way to generate realistic narratives covering various market conditions, geopolitical shifts, and economic crises. Manually creating these narratives was time-consuming and resource-intensive.

    The solution

    • Integrated Generative AI (GenAI) powered by a Large Language Model (LLM) into the bank’s scenario generation workflow to assist in creating scenario narratives.

    The result

    • Narrative development time was reduced by 70%, allowing bank’s analysts to focus on refining insights rather than drafting content from scratch.