In an ever-changing environment with more competition and regulatory scrutiny, it’s important to develop robust risk management frameworks that satisfy regulatory requirements, contribute to strengthen decision-making and to enhance performance.

 

Our Global Research & Analytics team works with our clients to:

 

  • Design customized models to the challenges presented by evolving needs and priorities of the industry Risk parameters and reserves modeling, AMA methodology, anti-fraud plans, valuation and pricing
  • Provide model validation services that assess compliance to regulatory requirements such as Basel II/III, EBA and ECB stress, Dodd Frank etc. Back-testing and stress-testing (AQR, DFAST, CCAR), models audit and review (leverage ratio, LVA, CVA, LCR, NSFR), recovery plans
  • Optimize models and strategies with cutting-edge methodologies and tools Rating scale optimization, CVA desk implementation, RWA impact simulation, portfolio management optimization

 

Our team is made up of quantitative experts and finance professionals who work with you to develop robust models and turn them into actionable results.

 

Insights:

GRA Booklet - 2013-2014 - First Edition

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GRA Booklet - 2015-2016 - Second Edition

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Modelling: What’s next for Financial Services in Europe? (July 2017) by Benoît GENEST, Matthieu ARSAC & Emilie PONS

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SMA | Comments on BCBS (June 2016) consultation (Standardized Measurement Approach for calculations of Op Risk Capital) by Benoît GENEST, Hélène FREON, Mariya BENJELLOUN

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Cat bonds & Artificial Neural Networks | An example of reinsurance products’ pricing using machine learning methods (2016) by Mikaël BENIZRI, supported by Ziad FARES

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RWA Density | What Lies Behind This Underrated Financial Ratio (January, 2016) by Léonard BRIE & Hélène FREON 

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Interest Rate Risk In The Banking Book | How To Manage IRRBB Considering The Monetary Policy And The New Regulation (December, 2015) by Ziad FARES 

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Value-At-Risk | Estimation Methodology And Best Practices (June, 2015) by Louiza CHABANE, Benoît GENEST & Arnault GOMBERT

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Risk Management In Exotic Derivatives Trading | Lessons From The Recent Past (January, 2015) by Jérôme FRUGIER (BNP Paribas) & Augustin BEYOT

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Dynamic Stress Test Diffusion Model Considering The Credit Score Performance (November, 2014) by Ziad FARES & Arnault GOMBERT

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Optimization of Post-scoring Classification for Low Default Portfolio (April, 2014) by Ziad FARES

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Value-at-Risk in Turbulence Time (Février 2014) by Benoît GENEST & Zhili CAO

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Collateral Optimization – Liquidity & Funding Value Adjustments, Best Practices (Août 2013) by David REGO & Hélène FREON

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CVA Capital Charge under Basel III standardized approach (Avril 2013) by Benoît GENEST & Ziad FARES

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GRA Pricer - 2013 - Valuation & Pricing Solutions by David REGO, supported by Benoît GENEST and Ziad FARES

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Basel II IRB Risk Weight Functions (Février 2013) by Benoît GENEST & Léonard BRIE

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