Engagement details, client names, and portfolio-specific results stay confidential. This page describes the methodologies and deliverable formats behind the work — so you can judge fit before the first call.
Behavioural modelling of non-maturity deposits and prepayments, supervisory outlier tests, and ALCO-ready reporting — designed so the numbers survive both regulatory challenge and internal use.
Financial Risk & ALM →Through-the-cycle vs point-in-time PD calibration, downturn LGD frameworks, staging rules aligned to significant-increase-in-credit-risk logic, and forward-looking macro overlays with documented scenario weighting.
Credit Risk & IFRS 9 →Conceptual soundness reviews, data-quality and representativeness testing, benchmarking and backtesting, and model-risk framework work — delivered as validation reports and remediation roadmaps.
Model Validation & Model Risk →Chain-ladder, Bornhuetter-Ferguson and stochastic reserving; best-estimate and risk-margin technical provisions; SCR (standard formula and internal model); ORSA design and pillar-3 disclosure.
Insurance & Solvency II →Translating NGFS and bespoke climate scenarios into portfolio-level financials; catastrophe frequency-severity models with generalised-Pareto tail calibration; integration into ORSA, ICAAP, and IFRS 9 forward-looking overlays.
Climate & Catastrophe Risk →Sovereign spread and rating-transition modelling, sanctions exposure mapping, war and political-violence pricing frameworks, and supply-chain concentration analytics — translated into balance-sheet impact.
Geopolitical & War Risk →Gradient-boosting PDs and severity models, LLM-assisted risk review, and explainability layers (SHAP, PDP, surrogates) — delivered with an AI/ML model-risk framework aligned to SR 11-7 and EU AI Act expectations.
AI & Quantitative Risk Models →Formats used across engagements. Each is scoped and tailored to the specific model, portfolio, and regulatory context.