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 specific modelling problems we have tackled for clients along the way to achieving their wider goals are:
- 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