Banking regulation complexity has significantly increased since the global crisis, requiring financial institutions to develop or strengthen both their forecasting and risk assessment capabilities.
Our Finance and Risk modeling practice covers the following expertise:
- Risk modeling: basel parameters, ECL, stressed models, credit risk impacts of climate changes;
- Finance modeling: P&L forecast under stressed and non-stressed conditions (Market P&L, commissions and fees), ALM behavioral modeling;
- Stress Test modeling: risk and finance joint effort to evaluate bank’s key metrics within a stress context;
- Quantitative marketing modeling: churn, next best action prediction, product appetite scoring;
ML Advisory provides it’s clients with modeling capabilities for various types of projects:
- Conception assistance : modeling assistance for Line of Defense 1 teams – model conception from business/economical aspects to final model implementation;
- Independant review: modeling assistance for Line of Defense 2 teams – MRM teams – model review has become a critical aspect of LoD2 within banks as models number and complexity has significantly increased;
- Conception of challenger model: a mixed approach between conception and independant review to bring our clients new ideas and help them think differently.
Example of recent projects:
- Review of ALM retail behavioral models – Tier 1 bank
- Review of P&L stress testing models and conception of a challenger model for net trading income – Tier 1 bank