Financial Risk Modelling

Our team of risk specialists helps financial institutions effectively navigate in the area of quantitative risk modelling. Our goal is to provide high quality services and solutions through our skilled professionals. Our consultants have an experience in development, validation, governance and audit of a wide range of models in market and credit risk domains.

The team is an organic part of PwC Big Data and Analytics Hub. This allows us to increase the scope and overall value to our clients in areas beyond the standard risk modelling including but not limited to big data analysis, artificial intelligence models and on demand software development.

Our services

Our skills are

Statistical modelling
Model validation
Market and credit risk
Macroeconomics
Model Risk Management

We use subject matter expertise to optimize business use of solutions. In the area of risk modelling, we gathered a practical multiple years experience, and we are familiar with advanced risk modelling techniques.

We are experts in

IFRS 9 and CECL models
Scorecard development
Market risk models
IRB/A-IRB models
Stress-testing

We engage in financial models development across the globe and devise model validations and reviews during advisory and assurance projects. Our team is an organic part of PwC Big Data and Analytics Hub.

We know relevant regulations

CRR, CRD IV
IFRS 9, US GAAP CECL
US CCAR/DFAST
FRTB, IRRBB
ECB/EBA Guidelines

We are involved in model audits in Europe, US and Asia and experienced in discussions with regulators.

Our solutions

IFRiSk 9 Calculator / CECL Calculator

The PwC IFRiSk 9 Calculator and PwC CECL Calculator have been developed to support financial institutions with regular provisions calculation and sensitivity analysis according to IFRS 9 and CECL standards respectively. Powerful engine together with simple interface enable users to quickly evaluate ECL / CECL under different scenarios.

Model Risk Manager

The PwC Model Risk Manager serves your institution as a control framework around the management of models. With this application, your financial institution can organize, evaluate and monitor all models used across the organization in a user-friendly environment.

Credit Risk Modelling Suite

The PwC Credit Risk Modelling Suite showcases the possibilities of automation and standardisation in credit risk modelling. With a methodology adjustable to your needs it covers all stages of model development from modelling of individual components to the final impact analysis.