Quantitative Risk InfrastructureQuantitative Risk Infrastructure
We model market, credit, and operational risk in real time using VaR, ETL, and high-performance compute. Services include stress testing and capital-efficiency analysis.
Capital & Financial Risk
We design capital and financial-risk processes based on regulatory obligations, balance-sheet structure, and the operating model. The work may include capital adequacy calculations, concentration thresholds, reserve methodologies, and management reporting. For broker-dealers, this can include net capital and customer-reserve calculations.
Risk Modeling & Analytics
We design portfolio-calibrated VaR and Expected Tail Loss (ETL/CVaR) frameworks based on actual positions and trading activity. VaR estimates loss at a defined confidence level, while ETL estimates the average loss beyond that threshold. We combine both measures with historical replay and hypothetical scenario analysis to quantify risk under normal and stressed conditions. Each model includes documented assumptions, limitations, and validation procedures.
Margin & Collateral Analysis
We assess margin and collateral requirements across positions, counterparties, and clearing arrangements. Monitoring covers concentration, available liquidity, intraday calls, and changes in exposure. The resulting controls reflect the applicable methodology and the organization's actual portfolio.
Counterparty & Clearing Exposure
We measure exposure to counterparties, clearing providers, and settlement networks. Dashboards and alerts track mark-to-market changes, collateral requirements, settlement activity, and concentration by relationship. Documented thresholds support timely escalation and management review.
Liquidity Risk Management
We design liquidity risk management programs that address contingent funding, stress-tested liquidity buffers, and intraday cash-position monitoring. Data, reporting, and governance processes are aligned with the organization's obligations and operating model.
Model Risk Governance
We establish model governance based on the principles of SR 11-7 and OCC 2011-12. The work includes independent validation, performance monitoring, backtesting, and documentation of assumptions and limitations. Vendor and proprietary models are assigned owners, review schedules, and approval requirements.
Risk Frameworks
Sector Examples
Core risk domains addressed together: market, credit, and operational risk.
Integrated risk framework