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As risk management evolves from a reporting and monitoring role to actively participating in management of the bank, the function also expands – from basic scenario modelling and limit setting to include valuation and capital allocation.

Finance is now converging with risk. It is evidenced by the need for common risk factors, reconciliation of profit and loss with VaR, and creating the necessary control function to enable enterprise-wide aggregation.

Our clients are best served by a partner that combines mathematical, technology and business process expertise to undertake complex validation, design and delivery.

Our services include:

  • Model approval, risk methodology and validation.
  • Delivery of efficient price verification processes.
  • RWA optimisation.
  • Risk architecture rationalisation.
  • Data architecture, modelling and governance.
  • Risk and finance data and technology alignment.
  • Ensuring credit, market and liquidity risk models meet regulatory requirements.
  • Regulatory and economic scenario-modelling.
White paper

Pricing discrete barrier options and credit default swaps under Lévy processes

Discretely monitored barrier options under Lévy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable bonds. By Marco de Innocentis and Sergei Levendorskiia

Model TCO: reducing waste in financial analytics

Riskcare provides a unique combination of business, quant, risk and technology practitioners – providing solutions for a wide variety of modelling applications. By Riskcare

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