Quantsolutions has more than 15 years experience in quantitative risk management consulting where numerous projects have been successfully implemented mainly in credit and market risk. Selected projects are:

  • Development of a risk-based pricing tool for loans and its integration into SAP Bank Analyzer
  • Development of an economic capital model in the spirit of CreditMetrics which replaced a commercial tool to reduce software costs
  • Validation of an in-house developed rating system
  • Estimation of credit risk models for residential mortgage portfolios
  • Implementation of an interest rate derivatives valuation system for collateral management