Credit risk — expected loss
IFRS 9, Basel III/CRR IRB
- Measures
- PD term structures, LGD, EAD, 12-month and lifetime ECL, staging transfer rates
- Output
- Stage-level ECL, coverage ratios, PD/LGD calibration report
Platform
Quantica Risk Modelling
Separate measurement modules for banking, insurance, climate and model governance — each with its own metrics, regulatory frame and outputs.
Measurement scope
What is measured, in which module
Banking and insurance measures are modelled independently. They share only the data, calibration and validation backbone, and are reconciled at group level.
Banking measurement scope
Measurement of bank balance-sheet risk: credit, market, liquidity, interest rate in the banking book and capital adequacy. Each aspect is calibrated and validated separately before aggregation.
Credit risk — unexpected loss
CRR/CRD, Pillar 2 concentration
- Measures
- Risk-weighted assets, correlation and concentration measures, HHI, single-name add-ons
- Output
- RWA density, economic capital by segment
Market risk and valuation
FRTB, IFRS 13 fair value hierarchy
- Measures
- VaR, expected shortfall, sensitivities (delta, vega, DV01), P&L attribution, XVA
- Output
- ES by desk, backtesting exceptions, valuation adjustment breakdown
Interest rate risk in the banking book
EBA IRRBB guidelines, supervisory outlier test
- Measures
- ΔEVE, ΔNII, repricing gap, behavioural maturity of non-maturity deposits
- Output
- Six-scenario ΔEVE/ΔNII grid with behavioural assumption log
Liquidity and funding
Basel III liquidity, ILAAP
- Measures
- LCR, NSFR, survival horizon, deposit run-off rates, counterbalancing capacity
- Output
- Stressed cash-flow ladder and funding concentration measures
Capital adequacy and stress testing
ICAAP, EBA/ECB stress-test methodology
- Measures
- CET1 trajectory, leverage ratio, capital buffers under adverse scenarios
- Output
- Multi-year capital projection with driver decomposition
Architecture
How the modules fit together
Shared backbone
One data layer, one calibration engine, one validation framework. Modules do not share assumptions; they share the process that documents them.
Domain isolation
Banking capital and insurance solvency are computed under their own regimes. No metric is reused across regimes without an explicit mapping.
Group aggregation
Results aggregate only at the point where the regulatory basis permits it, with diversification and transferability assumptions stated separately.
Discuss a Quantica engagement
Modelling reviews, integrations, validation support and platform partnerships.