Global leader in Quantitative Services - developed, validated and documented 20,000+ models for 15 global banks across risks and asset classes
700+ experts with advanced quantitative qualifications and strong understanding of regulations, model lifecycle and programming languages
Quantitative Services
For more than a decade, many of the world's largest banks and other institutions have relied on CRISIL for expert guidance and execution in Quantitative Services, including Model Risk Management (MRM).
CRISIL helps financial institutions optimize frameworks and procedures by providing a full range of quantitative services including independent model validation, testing, development of control and governance frameworks, and automated solutions.
Our global team of 700+ quants employs the most sophisticated statistical and machine learning models and has deep expertise in both model risk management and regulatory guidelines, including SR 11-7, OSFI E-23, CRR/CRD IV, PRA's SS3/18 and PS7/18 and ECB's TRIM.
CRISIL's unmatched experience helping clients improve their model risk management processes makes us the leading industry player in executing large-scale, time-sensitive, quantitative services assignments.
Model Risk Management
Regulatory and Advanced Analytics
Portfolio Risk Management
Current Expected Credit Loss
Stress Testing
Our Experience across Models
Market/Traded Risk and CCR
- FRTB IMA / SA, Expected Shortfall, VaR, CoVaR, and SVaR models
- Economic capital models
- RNIV models / Stressed Capital Add-on
- IRC and DRC models
- Collateral Haircut models
- Counterparty credit risk models (EPE, PFE, EE)
- SIMM, initial margin, and guarantee fund sizing models
Credit Risk/IFRS 9/CECL
- PD, LGD and EAD models (retail, wholesale portfolios including LDPs)
- Charge-off rate models
- Prepayment models
- Obligor and facility risk rating models
- Credit conversion factor (CCF) models
- Sovereign/Country risk rating models
- IFRS 9 / CECL models
- Machine Learning Models
Operational Risk
- Operational risk VaR models
- Internal loss data (Loss distribution Approach)
- External loss data (Idiosyncratic Risk)
- Stress scenario data
- Adjustment to operational risk VaR models using BEICF factors
Stress Testing
- Scenario expansion and generation models
- PPNR models
- Loss projection models
- Global market shock models
- Scenario computation models (GMS, LPA, FDSF, internal scenarios)
- Liquidity and Gap Risk models
- Scenario path generation
- Dynamic hedging models
Pricing & Valuation
- Derivatives pricing models for vanilla , exotics, hybrids and structured products
- Curve construction and term structure-based models
- Volatility surface and calibration models
- XVA (CVA, DVA, FVA) models
- Regulatory charge calculation models
- Securitised products models – i.e. CLO, CDO, ABS, MBS, Non-Agency RMBS
Financial Crime
- AML transaction monitoring (high risk geography, hidden relationships, behavioral anomalies, cash transactions, rapid movement, cash structuring, AML money movement)
- Trade surveillance (market abuse, insider trading/phishing, trade allocations, wash trades, settlement reporting)
- Sanctions rule verification
- Threshold tuning using ATL/BTL
- Customer segmentation
- Fraud models (money movement, wire/payment fraud, dormant accounts, ID/card frauds)
Credit Decision Scorecards
- Application Scorecard
- Behavioral Scorecard
- Fraud Scorecard
- Collection Scorecard
- Early Warning Scorecard
- Credit Bureau Scorecard
- Hybrid Scorecard
- Machine Learning Scorecards
Algorithmic Trading
- Execution strategies
- Market Making strategies
- Routing strategies
- Crossing strategies
- Risk strategies
AM/WM
- Yield Book
- Morningstar
- Barra
- Barclays Point
- Credit Suisse Holt ValueSearch
- Bloomberg models
- IDC BondEdge
- ITG Pre-trade
Others
- Treasury/Liquidity Risk
- Business Risk models
- Pillar II economic risk capital models
- Pricing analytics
- Marketing analytics
- Portfolio management
CRISIL EDGE
Expertise in various regulatory programs, including Basel III/IV, CRD/CRR, CCAR, ISDA and PRA/EBA stress-testing requirements and EBA's new DoD rules
Delivery centres around the world
Knowledge Centre
Case Studies
Model Risk Management
Portfolio Risk Management
Stress Testing
Regulatory and Advanced Analytics
Current Expected Credit Loss (CECL)
CRISIL Global Research and Risk Solutions
November 15, 2024Expanding the scope of quantitative risk management
CRISIL Global Research and Risk Solutions
September 23, 2024MRM guidelines for APAC
CRISIL Global Research and Risk Solutions
September 13, 2024Barr speech on Basel III Endgame
CRISIL Global Research and Risk Solutions
September 10, 2024EBA stress test 2025