Risk Modelling & Model Validation
End-to-End Solutions for Risk Modelling and Model Validation
NFC offers comprehensive risk modelling and model validation services, using our expertise in mathematical modelling and programming to deliver solutions tailored to your specific requirements.
We support both start-ups and established businesses with risk model solutions, covering development, implementation, and backtesting of current models, while ensuring compliance with all regulatory requirements. We can also perform gap analyses between your models and new regulatory requirements, helping you implement necessary changes in a structured manner.
At NFC, we provide both full solutions and consultancy for risk modelling and model validation. Working with us allows you to focus on your core business, without spending time developing or validating risk models.
Examples of projects
- Development of risk models
- Validation of risk models
- Development of IRRBB models, including EVE and NII
- External validation of IFRS9 models
- Independent validation of AML models
- Quantitative analysis and modelling of large datasets
- Programming optimised models
- Backtesting of models
- Implementation of risk modelling systems
- Gap analysis of existing models versus regulatory requirements
Examples of mathematical models
- Value at risk (VaR), Expected Shortfall (ES), Monte Carlo (MC), Regression Analysis, Bootstrapping, Nelson-Siegel-Svensson
Examples of programming languages
- VBA, SQL, Python, R, MATLAB, SAS