Introduction We are an independent consulting company that implements projects for financial institutions in the area of credit, market and operational risk management. Our team of specialists in mathematics, statistics, programming and finance brings a wide range of knowledge and experience, a creative approach and proven solutions. Creative, Reliable, Adaptive
RISK CONSULTING Scoring models Basel II and Economic Advanced Capital methodology for LGD — Application and behavioral Modeling scoring. — RWA, PD, LGD and EAD modeling and methodology. — Cost allocation + data — Advanced models implied discount rate development, calibration — Time series analysis with determination. and validation. economic downturn assessment. — Modeling techniques for — Reject inference partial recovery rate approaches. — Methods dealing with observations. incomplete observations — Cut-off setting using cost of (LGD). — Downturn portfolio LGD. error weighting. — PIT x TTC rating (variable scalar approach).
RISK CONSULTING Value at Risk Models Valuation of derivates Basel II Implementation and — Parametric and — Valuation and risk Capital optimization nonparametric VaR and quantification of portfolio CVaR models. of plain vanilla forwards, — Basel II market and options or interest rate operational risk capital — Advanced (e.g. GARCH) swaps. calculation. correlation and volatility estimations. — Advanced stochastic — Standardized or VaR based modeling and exotic approach. — EVT (Extreme value theory) derivatives valuation. VaR implementation. — Stress testing and economic capital allocation.
BIG DATA CONSULTING Exploration of all Recognition of All types of methods kinds of information hidden profitability to explore the opportunities maximum information — Internal data sources. — Identifying weaknesses in — From regression trees to — Understand your data your processes. random forests. through internal or external internet data sources. — Minimizing your client’s — From Bayesian to neural attrition. networks. — Understand better your clients through fusions with — Maximizing sales numbers — From simple regression to external sources (TELCO, of your products. ensemble models. energy). — Optimizing your business — Gradient boosting, stacking, model. Adaptive Boosting (AdaBoost) and other methods.
FINANCIAL AND INVESTMENT CONSULTING Optimal Portfolio Performance Cash Flow Allocation Measurement and Optimization Risk Reporting — Expected return versus risk — Proposal of optimal cash optimization. flow structure, financing and — Definition of key financial asset management. performance indicators, — Algorithmic trading benchmarks and risk strategies analysis, design — Analysis and hedging of measures. and implementation. balance sheet foreign exchange, interest rate and — Implementation of automatic — Bayesian approach to asset liquidity risks. reporting systems and allocation. monitoring processes. — Optimal allocation of financial assets inclusive reliable measurement of their return and risk profile.
IT CONSULTING Credit Rating System Recovery Tailor Made Software Management System — (Web based) Application for — We offer software storing and management of development on demand — Definition of particular financial statements. and our own software recovery processes. products. We have — Supported by database a competent team with — Storage of realized actions structure. extensive know-how in the on account, direct and area of software applications indirect costs. — Process of client level rating development and software assignment, definition of solutions development . — Support of recovery process user roles (analyst, client analysis and optimization. manager). — Data export for LGD modeling.
EXECUTIVE DIRECTOR Jiří Witzany WORK EXPERIENCE ACADEMIC ACTIVITIES — Professor of Finance, Faculty of Finance and — Co-founder of Quantitative Consulting. Accounting, University of Economics, Prague and Faculty of Mathematics and Physics, Charles — Senior Consultant CRA System, a quantitative risk University, Prague. management division of Mediaresearch. — Guarantor of the Financial Engineering Master — Director of the Credit Risk Management Division in degree program. Komerční banka (scoring functions development, credit risk reporting and data management, — Formerly lecturer at the Pennsylvania State implementation of Basel II, real estate valuation). University and the University of California in Los Angeles. — Modern market risk management system development in Komerční banka, implementation of the dealing system Trema, the Middle Office function, and a Management Information System for financial markets trading.
STRATEGIC DEVELOPMENT Pavel Charamza WORK EXPERIENCE SUMMARY AND SKILLS — Lecturer at the Department of Probability and — Research Development Director in Median. Mathematical Statistics, Charles University, Prague. Lecturer of Credit Risk, University of Economy, — Group CRO of Home Credit International. Prague. — CRO of Home Credit in China. — International experience. — Member of the Board of Directors in Mediaresearch. — Top management experience. Established a financial consulting division later transformed to Quantitative Consulting. — Analytical and mathematical skills. — Credit Risk Manager in Komerční banka. — Credit risk and scoring. Responsible for development and implementation of a new scoring system for the bank. — Antifraud, underwriting, collection processes.
METHODOLOGY DEVELOPMENT Petr Veselý WORK EXPERIENCE SUMMARY AND SKILLS — Head of Department of Portfolio Management and — IFRS 9 provisioning methodology. Reporting in Sberbank CZ. — Credit risk statistical modeling. — Head of Department of Credit Portfolio Management in Raiffeisenbank. — Scoring functions development. — Head of Department of Portfolio Management in — Early warning systems. eBanka. — Risk premiums. — Head of Department of Scoring and Portfolio Management in Komerční banka. — Loan loss provisioning. — Basel regulation.
REFERENCES Leading Slovak Bank Leader in Consumer Loan Leading bank operating on Market in CR, SR, Russia Central and East European — Scoring functions for the SME and other countries Markets segment. — Scoring functions for consumer — Methodology for LGD – Basel II — Database and software system loans. approach. for online scoring for the SME and Small Business segments. — Credit methodology complex — Basel II implementation support - solution. PD, LGD, and CF estimation, Leading Czech Bank calibration, and validation. — Credit risk monitoring, strategy, — Complex audit of BASEL II performance indicators. Training and Advisory Activities methodology and documentation for ČNB. Leading Hungarian Bank — Lecturing in the areas of risk management, financial markets, — Scoring and LGD models — Complex audit of BASEL II STD and derivatives. development, risk margin approach, provisions determination and calculation. calculation.
CONTACT Quantitative Consulting, s.r.o. Opletalova 1417/25 110 00 Praha 1 Czech republic +420 602 356 122 info@quantitative.cz www.quantitative.cz
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