FINANCIAL SERVICES

Credit, risk and capital intelligence.

Quantitative systems for credit decisions, portfolio risk and regulatory capital.

Selected examples of quantitative workflows designed for financial institutions and capital markets.

Credit Card Scoring

Builds an interpretable credit scorecard that transforms borrower characteristics into risk-based points, supporting credit approval, pricing, limit setting and portfolio monitoring.

Bias Mitigation in Credit Scoring

Analyses differences in credit outcomes across demographic groups to identify potential model bias, assess proxy variables and strengthen fair-lending and model-governance controls.

Corporate Default Forecasting — TTC vs PIT Probability of Default

Combines Through-the-Cycle and Point-in-Time probability-of-default models to separate structural borrower risk from macroeconomic effects, supporting IFRS 9, stress testing and capital planning.

Credit Rating Migration Analysis

Uses empirical transition matrices to estimate the probability of upgrades, downgrades and default, enabling forward-looking portfolio monitoring, stress testing and credit-quality forecasting.

Merton Credit Risk

Applies a structural credit-risk model to market and balance-sheet data to estimate Distance to Default and market-implied probability of default as forward-looking early-warning indicators.

Counterparty Credit Risk & CVA

Quantifies the expected valuation impact of counterparty default by combining exposure, probability of default and loss severity, helping identify where CVA risk is concentrated.

Wrong-Way Risk in Counterparty Credit Risk

Measures situations where market exposure and counterparty credit quality deteriorate simultaneously, comparing baseline and stressed PFE to identify exposures requiring tighter limits, collateral or hedging.

Risk Concentration Analysis

Analyses how credit exposure is distributed across individual obligors to identify material single-name concentrations and support limits, portfolio diversification and targeted stress testing.

VaR Backtesting

Tests Value at Risk forecasts against realised market losses to identify exceptions, detect periods of model underperformance and determine when risk parameters or methodology require recalibration.

GIRR Delta FRTB

Decomposes FRTB General Interest Rate Risk delta capital by bucket and measures the impact of optimisation or hedging, identifying where regulatory capital can be reduced most efficiently.