Modelling _______________________________________________________
Modelling expertise is the bedrock of Volterra's skill base, from the depth of expertise of our founding directors through to the unique multi-disciplinary skills of our team, comprised of statisticians, economists and physicists. We have worked with 6 of the top 10 mortgage lenders in the Basel II area and recently extended our working profile to major projects in the unsecured area.
Some bespoke modelling problems we have tackled for clients along the way to achieving their wider goals include:
- Through-the-Cycle calibration of Point-in-Time rating systems
- Modelling ratings migration through the economic cycle
- Modelling the impact of the economy on capital and losses through stress testing
- Rating system design
- Selecting optimal risk pools
- Addressing missing data problems and sourcing appropriate external data
- Applying logistic regression, survival modelling, and time series econometrics.
Our experience in modeling and working with large data sets is particularly valuable in the Pillar I area of Basel analysis. Our commitment to transparency and quality of communication has proven particular areas of strength in a field where it is easy to get lost in acronyms and opaque analysis. A fundamental aim in all our work is to make assumptions, methods and results clear to our clients, in turn allowing them to be clear with the Financial Services Authority.
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