We bring with us the expertise to help our clients through the entire life-cycle of a model beginning from model development- validation-testing- deployment to production.

Model Development:

Banks and financial institutions require custom built models for various purposes. Model development could be development of a new model from scratch, or configuration + customization of a model in the the enterprise risk system.

Model Validation:

Model validation forms an important activity for industry participants. It is relevant not just from regulatory point of view, but also to give comfort to the business teams to use the models developed in-house / sourced from a third-party vendor:

Services offered:

• Financial instrument pricing:

  Pricing models for fixed income, FX and EQ Options, Swaps, Interest Rate Options, credit derivatives etc.

• Risk measurement

  Risk measurement models including Value at Risk (VaR), Expected Shortfall, option greeks, bond duration measures etc.

• Stress testing

  Stress testing models to help our banking clients gear up for this stringent regulatory requirement

• Regulatory Capital

  Capital charge, Credit Value Adjustment (CVA) capital charge, exposure calculation etc.

• Behavioral modelling for ALM

  Models for estimation of CASA balances, OD balances etc.