Tier one bank had a very profitable structured product business but required an accurate understanding of losses arising from this business. Importantly the capital treatment was extremely punitive.

The bank requested targeted assistance with their Covered Bond product line. QRisk was awarded the project based on its innovative solution that addressed the clients concerns and satisfying all internal and external stakeholders.

We immediately understood that an out of the box solution was not going to work in this scenario.

Another complicating factor was that a Bank must also satisfy the regulator that this approach is fit for purpose.

Our experience in pricing and modelling across diverse asset markets coupled with credit risk know-how were combined with our understanding of the regulatory perspective, to enable us to deliver an innovative solution that exceeded all internal expectations and was approved by the regulator, receiving great feedback.

Coupling a range of techniques and experience from both asset management and credit risk.

QRisk was able to create an appropriate risk management solution for this major bank.

QRisk also developed a portfolio management and monitoring environment for the group.