Our purpose: 
When we help our clients better quantify and manage their risks, we contribute to a safer financial system and a more stable economy where people can thrive. 

What we do: 
We are a consulting team specialized in credit risk modelling. In the context of active credit portfolio management, we help our clients develop or validate:
- Counterparty, facility and collateral risk models (parameters: PD, EAD/CCF/LEQ, LGD and Dilution), 
- Portfolio loss distribution models (parameter: assets’ correlation structure), and
- Securitization models (tranches’ risk parameters: PD and LGD).

Last, but not least, we are cost aware.
We make sure that our daily rates are competitive; and that the frameworks and models we put in place are cost-effective over their life cycles – in terms of: cost of data, time required from analysts to use our models, and cost of implementation, review and maintenance. 

Recent projects: 
- [CIB] Development of a PIT forward-looking LGD model covering commodities' specialised-lending exposures (limited-recourse finance) - used for IFRS 9 provisioning and stress testing purposes
- [CIB] Development of a PIT forward-looking LGD model covering Large Corporate unsecured exposures
- [Banking group] IRB-repair of Financial Institutions rating system (covered counterparties: Banks, Insurers, Mutual and Alternative-Investment Funds, Independent Brokers and Asset Managers - differentiation and quantification of default risk)
- [Banking group] Remediation of the IAA model covering ABCP conduits (securitization) – including the calibration of the correlation parameter (using the Vasicek framework)
- [Banking group, MRM] validation of Personal-Finance IRB LGD models 
- [Banking group] Backtesting of Factoring rating system (incl. the dilution parameter) 
[...]

If you have any questions regarding our value proposal, please contact us at: contact@neonrisk.com


NEON RISK CONSULTING

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NEON RISK CONSULTING

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