Our team of specialists can help you to develop your risk models
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.
Specialist Expertise
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:
- IBOR transition upgrades to proprietary risk and valuation libraries
- Counterparty Credit Risk: IMM, SA-CCR; CVA Risk (SA-CVA, BA-CVA)
- Initial Margin Calculation: ISDA SIMM, LCH IM, IM Schedule/Grid, Projection/Simulation ("Dynamic IM")
- Market Risk; Sensitivity Analysis, Stress Testing, VaR/ES models (HistSim, Parametric, LCH), P&L, IR Risk Management; FRTB-SA
- Integrated Portfolio Risk; Bonds/Loans and Derivatives, Market and Credit, Portfolio Credit Models
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Risk Model Development & Risk Analytics Case Studies
Driving the derivatives industry forward

We offer more than just Risk Model Development and Risk Analytics. Find out how we can advise your portfolio.
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