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Quantitative Services

Sia Partners has strengthened its modelling units by creating a dedicated team for quantitative subjects. The team is able to support financial institutions and provide them with solutions to the increasing requirements of risk quantification and financial performance.

Offerings

Regulatory Watch and Analysis
Strategic and Operational Consulting
Construction and Model Review

Regulatory Watch and Analysis

In light of increasing and ever-changing regulatory frameworks, we assist our clients in decoding, tracking and implementing these requirements (BASEL IV, FRTB, ICAAP-ILAAP, SREP, IFRS9, monetary indicator reform…).

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Stress-tests and quantitative simulations

We assist our clients in the analysis and implementation of regulatory stress tests, as well as the design of internal stress tests (identification of risk factors, definition of scenarios, modelling and calibration of scenarios according to several approaches (historical, statistical ...))

Index reform: modelling impacts

We support the modelling and financial engineering teams in financial institutions in the analysis and implementation of quantitative impacts related to the reform of monetary indexes.

IFRS 9 modelling

We assist our clients in the review of IFRS9 models (segmentation of homogeneous risk groups, bucket transition criteria, PD, LGD, EAD, CCF, model documentation, roles and responsibilities, etc.)

Strategic and Operational Consulting

We help financial institutions to analyse and implement levers within the modelling ecosystem, in order to align the operational model with the strategy (reorganization of the modelling sectors, definition of a governance model …).

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Creation and Organization of Modelling Branches

We assist financial institutions in the reorganization of model branches (e.g. ALM Risks ...), to ensure compliance in terms of governance, methodologies, organization and processes.

Model Risk Management

Our team assists clients in the implementation of a complete model risk management system by answering the main components defined by regulators: organisation, model life cycle, quantification of model risk, processes, governance and control etc. 

M&A Impact Simulation

Following mergers and/or acquisitions, we assist financial institutions in the analysis and simulation of quantitative impacts (e.g. impacts on risk, capital, liquidity, financial and cost-to-benefit analyses ...).

Construction and Model Review

We assist financial institutions in the development and review of risk valuation models (credit market, interest rate, cash, currency) and tools and methodologies for financial instrument valuation.

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Credit risk modelling

We assist our clients in the construction of credit risk models (PD, LGD, EAD ...). We help, for example, to review the methodological principles used, test the models, review their governance and  existing documentation.

ALM modelling

Our team assists clients in all stages of implementing an ALM model: identification of data sources, determination of variables and assumptions, data quality control, model calibration, validation and back-testing.

Market risk modelling

Our Quant team supports its clients in the implementation and evaluation of modeling techniques to take into account market risk (VaR, ES ...). Our team also assists its clients in the application of regulations (e.g. FRTB).