Our mission is to assist our clients in choosing and implementing the best solutions for measuring, reporting and managing credit risk.

Our clients are active in the financial services industry. The type of projects and missions we are carrying out cover the full spectrum of activities ranging from building data foundations to active portfolio management.

Generally speaking, the basis for a robust credit risk management framework starts with good quality data describing credit exposures and the set-up of Probability of Default, Loss Given Default, Exposure at Default and correlation models.

The sound modelling of the risk parameters and presence of a solid model validation framework form a critical condition for the step-up towards a dynamic and robust credit risk management solution.

The way through active credit portfolio management includes the following components:

• Instrument valuation: Mark-to-Market, Mark-to-Model, Potential Future Exposure,
• Credit measurement: netting, credit limits and policies, Exposure-at-Default,
• Risk computation: regulatory capital, economic capital involving additionally stress testing, concentration and portfolio analysis, counterparty credit risk.