Quantitative Services
QuantCap provides specialist quantitative services across the full model and risk lifecycle, from research and model development through production implementation, valuation, risk management, independent validation and regulatory change. Our work is delivered in line with applicable regulatory requirements, accounting standards, supervisory expectations and leading industry practice.
Front Office Quantitative Development
Cross-asset pricing and valuation model development, including calibration, pricing, sensitivities and numerical methodologies. Production library implementation and integration with Front Office trading, valuation and risk systems, together with model maintenance and support through independent validation, governance and approval, including resolution and closure of related actions.
Valuation
Quantitative support across Product Control, Valuation Control and IPV functions, covering independent valuation, market data and observability, IPV, valuation adjustments, fair value hierarchy, P&L explain and attribution, prudent valuation and related controls and governance. Development and implementation of policies, methodologies and operating frameworks, and remediation across vanilla, structured and illiquid products.
Market Risk
Market risk modelling and quantitative support across Market Risk functions, covering VaR and Expected Shortfall, FRTB, stress testing, backtesting, P&L attribution (PLA), risk-factor modelling and proxying, and related risk measurement and monitoring frameworks. Development and implementation of models, policies, methodologies and operating frameworks, with support through independent model validation, governance and approval, including resolution and closure of related actions.
Counterparty Credit Risk
Counterparty credit risk modelling and quantitative support across CCR functions, covering exposure modelling and simulation, PFE, EE/EPE, SA-CCR and IMM, collateral and netting, margin and wrong-way risk. Development and implementation of models, policies, methodologies and operating frameworks, with support through independent model validation, governance and regulatory approval, including resolution and closure of related actions.
XVA
XVA modelling and quantitative support across CVA, DVA, FVA, MVA and KVA, covering exposure integration, counterparty credit and own-credit effects, funding, collateral, netting, margin and capital. Development, calibration and implementation of XVA models, policies, methodologies and operating frameworks, with support through independent model validation, governance and approval, including resolution and closure of related actions.
Credit Risk
Credit risk modelling and quantitative support across Credit Risk functions, covering PD, LGD and EAD, rating and scoring models, default and recovery modelling, IFRS 9 expected credit loss and Basel/IRB frameworks. Development and implementation of models, policies, methodologies and operating frameworks, with support through independent model validation, governance and regulatory approval, including resolution and closure of related actions.
Model Validation & Model Risk
Independent model validation and quantitative support across Model Validation and Model Risk functions, covering conceptual soundness, methodology and assumptions, calibration, benchmarking and challenger analysis, implementation testing, model performance and ongoing monitoring. Development and enhancement of validation methodologies, policies, governance and model risk frameworks, including documentation of findings, recommendations and support through remediation and closure.
Advisory & Change
Quantitative advisory and delivery across regulatory remediation and complex change programmes, including reviews and enhancement of models, policies, methodologies, governance, operating models, processes and quantitative systems and infrastructure. Support from assessment and target-state design through implementation, testing, evidencing and closure of regulatory, audit and internal actions.
To discuss a quantitative requirement or engagement, please get in touch.