Neon Risk Consulting provide risk management tools and consulting services to financial institutions. Domains of expertise in credit/counterparty quantitative risk management are: ➜ Methods, analytics and models used for: pricing, provisioning (IFRS 9 and CECL), stress-testing (EU and CCAR/DFAST) and economic/regulatory capital. ➜ Risk parameters: Probability of Default (PD), Exposure at Default (EAD/CCF/LEQ), Loss Given Default (LGD), Correlation and Dilution modelling. ➜ Portfolio models: Loss distribution and securitisation modelling. Structured products’ pricing. Empirical calibration of assets' correlations (Vasicek framework). ➜ For the assets' classes: Securitization, Corporates (Large and SMEs), Banks and FIs, Sovereigns/ Municipalities/PSEs, Specialized Lending (Aircraft, Shipping, Project, Commodity and Real Estate Finance), Private Banking and Retail. ➜ Trading book: adjustments to derivative contracts' valuations (CVA). ➜ Development or independent-validation of models. Visit us at: www.neonrisk.com