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Quantitative analytics and stress testing: Leverage mathematical tools

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As international regulators use stress testing models to further scrutinize banks, we develop, implement, and validate mathematical tools for enhanced management of risk, return and shareholder value, as well as improved compliance with regulatory requirements.

Stress Testing and Capital Adequacy

  • Capability assessment and gap analysis with regulatory expectations (Dodd-Frank Act, EBA, ECB, Bank of England)
  • Design, test and implement financial stress test scenarios
  • Implement repeatable stress testing frameworks to meet regulatory requirements including improvements in governance, capital planning processes, analytics, internal controls and supporting infrastructure
  • Compare existing framework against industry best practices

Model Development

  • Design, test and implement credit risk PD, LGD and EAD models
  • PD models available to clients
  • Design, test and implement stress testing models in other areas such as market, operational and business risks
  • Design, test and implement BSA / AML models

Independent Review and Validation of Models

  • Independent review of conceptual framework, model implementation and operational soundness
  • Validation of model forecasts and outcomes

Business Improvement / Strategic Investing

  • Capital planning and risk appetite setting
  • Balance sheet optimization
  • Assessment of strategic initiatives and M&A activity
  • Integration with recovery and resolution planning
  • Assessment of fair lending

We work with banks, thrifts and investment banks, non-bank finance companies, insurance companies, pension funds, private equity funds, hedge funds, regulators, central banks and governments on complex challenges that require mathematical solutions.