Quantitative Services

For more than a decade, many of the world's largest banks and other institutions have relied on CRISIL for expert guidance and execution in Quantitative Services, including Model Risk Management (MRM).

CRISIL helps financial institutions optimize frameworks and procedures by providing a full range of quantitative services including independent model validation, testing, development of control and governance frameworks, and automated solutions.

Our global team of 700+ quants employs the most sophisticated statistical and machine learning models and has deep expertise in both model risk management and regulatory guidelines, including SR 11-7, OSFI E-23, CRR/CRD IV, PRA's SS3/18 and PS7/18 and ECB's TRIM.

CRISIL's unmatched experience helping clients improve their model risk management processes makes us the leading industry player in executing large-scale, time-sensitive, quantitative services assignments.

model-risk-management

Model Risk Management

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Regulatory and Advanced Analytics

portfolio-risk-management

Portfolio Risk Management

risk-technology-services

Current Expected Credit Loss

stress-testing

Stress Testing

 

 

Our Experience across Models

 

Market/Traded Risk and CCR

  • FRTB IMA / SA, Expected Shortfall, VaR, CoVaR, and SVaR models
  • Economic capital models
  • RNIV models / Stressed Capital Add-on
  • IRC and DRC models
  • Collateral Haircut models
  • Counterparty credit risk models (EPE, PFE, EE)
  • SIMM, initial margin, and guarantee fund sizing models

Credit Risk/IFRS 9/CECL

  • PD, LGD and EAD models (retail, wholesale portfolios including LDPs)
  • Charge-off rate models
  • Prepayment models
  • Obligor and facility risk rating models
  • Credit conversion factor (CCF) models
  • Sovereign/Country risk rating models
  • IFRS 9 / CECL models
  • Machine Learning Models

Operational Risk

  • Operational risk VaR models
    • Internal loss data (Loss distribution Approach)
    • External loss data (Idiosyncratic Risk)
    • Stress scenario data
    • Adjustment to operational risk VaR models using BEICF factors

Stress Testing

  • Scenario expansion and generation models
  • PPNR models 
  • Loss projection models
  • Global market shock models
  • Scenario computation models (GMS, LPA, FDSF, internal scenarios)
  • Liquidity and Gap Risk models
  • Scenario path generation
  • Dynamic hedging models

Pricing & Valuation

  • Derivatives pricing models for vanilla , exotics, hybrids and structured products
  • Curve construction and term structure-based models
  • Volatility surface and calibration models
  • XVA (CVA, DVA, FVA) models
  • Regulatory charge calculation models
  • Securitised products models – i.e. CLO, CDO, ABS, MBS, Non-Agency RMBS

Financial Crime

  • AML transaction monitoring (high risk geography, hidden relationships, behavioral anomalies, cash transactions, rapid movement, cash structuring, AML money movement)
  • Trade surveillance (market abuse, insider trading/phishing, trade allocations, wash trades, settlement reporting)
  • Sanctions rule verification
  • Threshold tuning using ATL/BTL
  • Customer segmentation
  • Fraud models (money movement, wire/payment fraud, dormant accounts, ID/card frauds)

Credit Decision Scorecards

  • Application Scorecard
  • Behavioral Scorecard
  • Fraud Scorecard
  • Collection Scorecard
  • Early Warning Scorecard
  • Credit Bureau Scorecard
  • Hybrid Scorecard
  • Machine Learning Scorecards

Algorithmic Trading

  • Execution strategies
  • Market Making strategies
  • Routing strategies
  • Crossing strategies 
  • Risk strategies

AM/WM

  • Yield Book
  • Morningstar
  • Barra
  • Barclays Point
  • Credit Suisse Holt ValueSearch
  • Bloomberg models
  • IDC BondEdge
  • ITG Pre-trade

Others

  • Treasury/Liquidity Risk
  • Business Risk models
  • Pillar II economic risk capital models
  • Pricing analytics
  • Marketing analytics
  • Portfolio management

 

 

CRISIL EDGE

 

 

Knowledge Centre

 

 

 

Case Studies

 

Model Risk Management

Portfolio Risk Management

Stress Testing

Regulatory and Advanced Analytics

Current Expected Credit Loss (CECL)

Questions

 

Looking for high-end research and risk services? Reach out to us at:

 

United States
1-855-595-2100/
+1 646 292 3520

 

United Kingdom
+44 (0) 870 333 6336

 

 

India
+91 22 33 42 3000 /
+91 22 61 72 3000