QCR principals and consultants have worked several years at the origination, risk management and trading departments of major commercial and investment banks in London and Budapest, which makes us well-placed to provide consultancy for financial institution to address challenges in risk management. We are pragmatic in our approach as we are aiming to deliver solutions which make sense both from theoretical and practical point of view. While developing risk management models we always keep the needs of both the business and risk management as a priority and use quantitative modelling tools only to an extent that can be justified by professional experience.
The expertise of the team includes a wide range of banking products, sectors and risk managing techniques. The financial professionals in Our Team have several years of banking background and our IT Partners have significant experience in developing and implementing financial applications in the financial sector.
Methods we employ in risk management typically fall into one of the following broad categories.
The mainstream method for modelling credit risk is statistical. QCR has broad experience in multivariate statistical modelling, including all mainstream forms of regression analysis to predict default rate of new and existing credits (Application and Behavioural Scorecard Models).
Modelling Market Risk
We are building tailor-made models to enhance risk management capabilities at investment funds. We have expertise in developing models to simulate Value-at-Risk (VaR), Tracking Error and Expected Shortfall ratios, conduct Factor Analysis, Correlation and Regression Analysis in normal and turbulent regimes and execute Stress Testing of portfolios. We also offer Alpha and Beta calculating models for Fund of Funds.
Models for Basel III/IFRS 9
QCR has thorough understanding of financial regulatory framework and we are keeping up-to-date with the latest developments of the regulatory landscape. Our banking experience in Basel reporting and credit risk modelling makes us well-placed to support clients on calculating Expected Loss, Unexpected Loss and PD&LGD ratios and application of Standard, IRB and ICAAP approaches (Basel III /IFRS 9).
QCR has expertise to build risk adjusted loan pricing (“RAROC” - “Risk Adjusted Return On Capital”) models to determine appropriate margins for loans considering all costs connected to the transaction.
Cash Flow Based Forward Looking Models
Mainstream modelling tools can be further enhanced if idiosyncratic factors and current macro expectations are taken more into consideration. Applying the latest technology from the London financial markets QCR has developed a next-generation credit risk management application, which calculates PD&LGD ratios based on the prevailing macro expectations in the economy. Changing the macro assumptions in the model will make monitoring and stress-testing of individual loans and the whole portfolios easy. More on QCR's new credit managing tool can be found under the section on RISKAWARE.