Specialist Quantitative Expertise
QuantCap provides specialist quantitative consulting and advisory services across the full lifecycle, from research and model development through production implementation, pricing, valuation, risk management, model validation and regulatory change.
Front Office Quantitative Development
Cross-asset pricing and valuation model development, quantitative methodologies, production libraries and Front Office systems integration.
Valuation
Independent valuation and valuation control, including IPV, valuation adjustments, market data observability, fair value hierarchy and related methodologies and governance.
Market Risk
Market risk measurement and modelling, including VaR, Expected Shortfall, FRTB, stress testing, backtesting, P&L attribution and risk-factor modelling and proxying.
Counterparty Credit Risk
Counterparty credit risk and exposure modelling, including PFE, EE/EPE, IMM and SA-CCR, collateral, netting and wrong-way risk.
XVA
XVA modelling and analytics across CVA, DVA, FVA, MVA and KVA, incorporating counterparty credit, funding, collateral, margin and capital effects.
Credit Risk
Credit risk modelling across PD, LGD and EAD, rating systems, default and recovery modelling, IFRS 9 and Basel/IRB frameworks.
Model Validation & Model Risk
Independent model validation, benchmarking and implementation testing across pricing, valuation and risk models, together with model risk governance and monitoring.
Advisory & Change
Quantitative advisory, regulatory remediation and complex change across models, methodologies, governance, systems and operating frameworks.
Experience Across Leading Financial Institutions
QuantCap practitioners bring extensive quantitative experience from engagements across leading international banks, buy-side institutions and regulatory and supervisory programmes.
Selected institutions supported by QuantCap practitioners across quantitative engagements.