We operate at the intersection of quantitative risk modelling and practical advisory, spanning productised assessments you can order today through to bespoke model development and governance. Complementary areas, one standard of rigour.
| Service | Your driver | You receive | Typical client |
|---|---|---|---|
|
01
Climate Risk ICAAP
Can you evidence climate risk in your ICAAP before the supervisory deadline? ↓ Data template |
PRA SS5/25 · Jun 2026 | Assessment, 25-requirement gap analysis, remediation roadmap | Challenger banks, building societies |
|
02
Private Credit Premium & CapitalNew
What loss should you price into this deal, and how much capital should it carry? ↓ Data template |
Deal pricing & capital | Scenario-weighted expected loss by tranche, pricing add-in, capital estimate | Private credit funds, PE sponsors, direct lenders |
|
03
DFI Economic Capital
How much capital does your portfolio actually require once preferred-creditor status is recognised? ↓ Data template |
Capital adequacy | Three-engine EC assessment, report, methodology annex | DFIs, ECAs, MDBs |
|
04
Country Risk & Cross-Border Premium
What premium does lending across this border justify, and where is your corridor concentration? ↓ Data template |
Deal pricing & concentration | Corridor analysis, premium quantification, full audit trail | Private credit funds, DFIs, cross-border lenders |
|
05
Synthetic Data
How do you develop and test models when the real data cannot leave the building? ↓ Data template |
Privacy & model development | Generated dataset, validation suite, privacy certificate | Banks, regulators, fintechs |
|
06
Model Development & Governance
Will your models withstand supervisory challenge and independent validation? ↓ Data template |
Model risk & validation | Advisory, model build, validation, training | All financial institutions |
No services match that filter.
Every engagement is scoped and priced before work begins. Enquire for pricing.
Production-grade models we run against your data. Each has a free in-browser demo, then a fixed-price assessment with documented results.
PRA SS5/25-ready: NGFS scenario engine, transition & physical risk modules, and a 25-requirement gap analysis with remediation roadmap.
Enquire for pricing
Try the live demo →Scenario-weighted forward-looking expected loss across the capital structure, from senior secured through unitranche, mezzanine and PIK, with a market-risk and correlation add-in for pricing.
Enquire for pricing
How it works →Three-engine EC (Basel IRB · CreditRisk+ · Monte Carlo) with the preferred-creditor adjustment, country-risk database, stress testing, and concentration analytics.
Enquire for pricing
Try the live demo →Quantify the cross-border premium using our peer-reviewed coefficients, drawn from 13,317 transactions worth $11.8trn. Corridor concentration, hazard multiples, and a full audit trail.
Enquire for pricing
See the methodology →Privacy-preserving synthetic portfolios via Gaussian copula and block bootstrap, with a full validation suite and privacy certification.
Enquire for pricing
Try the live demo →Private credit is priced off spread and covenant, but the loss you actually bear depends on seniority, scenario, and how correlated the borrower is to everything else you hold. We quantify all three.
An IFRS 9 ECL-inspired construction: PD, LGD and EAD projected across weighted macroeconomic scenarios rather than a single base case, so the number is forward-looking rather than point-in-time.
LGD is resolved by seniority and security: senior secured, unitranche, second lien, mezzanine, PIK and sponsor equity each carry their own recovery path, tested against recovery evidence rather than assumed.
A proportioned add-in for spread volatility and correlation to your existing book. This is the component that turns an expected loss into a defensible price and a capital requirement.
Calibrated against licensed rating-agency default and recovery studies, sovereign and macro forecast data, market pricing, and deal-level private credit databases, alongside our own research set of 13,317 transactions ($11.8trn).
Licensed third-party data is used for calibration only. Your deliverables contain our modelled outputs and your own data, never redistributed vendor data.
End-to-end model development, validation, and governance, combining technical model-building with a practical understanding of regulatory expectations and board-level requirements.
Risk appetite, taxonomy, aggregation methodology, three-lines implementation, ICAAP/ILAAP integration, board reporting.
PD/LGD/EAD development & validation, IRB, IFRS 9 ECL, rating-system architecture, migration matrices, concentration risk.
VaR, IRRBB (EVE/NII), behavioural models (NMDs, prepayments), FTP, liquidity stress (LCR/NSFR), ALM governance.
Independent validation of your ECL model: staging logic, PD/LGD term structures, forward-looking overlays, and backtesting against supervisory expectations.
ICAAP drafting & challenge, Pillar 2A, economic capital (CreditRisk+, Monte Carlo, copula), stress & reverse stress testing, RAROC.
| Format | Description | Engagement basis |
|---|---|---|
| Diagnostic Review | 2–3 day assessment of your current model framework against regulatory expectations. Deliverable: gap analysis with prioritised remediation plan. | On enquiry |
| Model Build | End-to-end development from specification to documentation to validation. Typically 4–12 weeks depending on complexity. | On enquiry |
| Governance Retainer | Monthly advisory: model review, regulatory challenge preparation, board paper review. Includes 10 hours per month. | On enquiry |
| Training & Workshops | Half or full-day workshops for risk teams and boards, covering ICAAP, model risk, and stress testing methodology. | On enquiry |
Every engagement is scoped and fixed-quoted before work begins. Contact us for pricing.
Start with a complimentary 30-minute consultation. We'll help you scope the right engagement, whether productised, bespoke, or a blend of both.