Corporate Clients __________________________________________________
Our experience in the corporate area spans conventional and new approaches. Our unique experience in economics and credit risk stress testing puts us in an excellent position to conduct stress testing on corportate portfolios. Our experience in the different approaches to corporate modelling include applying a structured credit risk model to analysing SME portfolios using methodologies more akin to those used for a retail portfolio. In this case we ensure that:
- The technical approach adopted is sound and acceptable both to the client and regulator
- All the work, including assumptions and technique, is well documented
- The reporting is in a format suitable for submission to the relevant regulatory authority
Volterra's experience within treasury is of validating counterparty risk models. Our statistical expertise and comprehensive reporting means that our validations provide solid evidence of a model. Although models differ, the essence of our approach is to ensure our validation provides:
- A high level assessment of whether the model remains 'fit for purpose'
- A review of the model methodology, documentation, policies, and supporting procedures
- Confirmation of the validation process to provide evidence that the model remains stable
For an insight in to the work Volterra has carried out for clients, please read our financial services,
case studies overview.
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