Risk modeling

SQF supports financial services companies with the practical implementation
of regulatory demands like the MaRisk and relevant risk carrying capacity calculations, the development and validation of rating procedures (Pd and LGD) for different asset classes and further quantitative duties.

The technical competence of SQF lies, on this occasion, in particular in the use of quantitative risk judgement procedures and experience in the assessment in line with market requirements of complex financing and derivatives.

SQF offers in particular

  • Assessment of structured capital tranches like ABS, CDO-or LBO-(share deal) financing tranches
  • Risk analysis of subportfoils (among other things distribution tests for the purposes of CVAR or other risk measures)
  • Elaboration of business models for risk departments
  • Implementing of error-minimising hedging algorithm for MonteCarlo simulations like OHMC
  • Development and backtesting of risk models with statistical tests (parametric and nonparametric)
  • Risk capacity measurement
  • Liquidity calculations in terms of Basel III (LCR und NSFR)
  • Standardization of risk measurement procedures
  • Analysis of rating agency models