Services for financial industry

Financial sector is in the midst of radical shift in business models, perpetuated by low interest rate environment and digitalization. At the same time the echoes of 2008 financial crisis are felt in the regulatory environment. By combining high-level quantitative skills and in-depth knowledge of regulatory environment, EconLab can solve many of the challenges that organizations are facing today.

Our Expertise

  • ICAAP & stress testing
  • Quality assurance and validation
  • Asset management support
  • Risk model development
  • Data and technology
  • Regulatory & compliance
  • Strategy and operations

EconLab has extensive experience in helping clients in ICAAP process and carry out internal stress tests. With background gained from being involved in the design of the stress testing methodologies within the ECB and bank of Slovenia, we are ready tackle any assignment in this area. Our team has also supported international banks in EBA stress testing in relation to stress test modelling, template completion, review of these templates from regulatory positions, preparation of explanatory notes to the ECB, assistance in DQ phases, and managerial support in stress test process

Model risk and ensuring model quality becomes increasingly important, in the era that building models has become easier and easier with out-of-the-box toolkits. Having strong quantitative and academic background, EconLab is well positioned to provide quality assurance even for more complex models. Our focus areas are IFRS 9 & stress testing forward looking models. Similarly, we have ample experience in validation of rating models, where we also have developed a proprietary toolkit that organizations can use themselves to improve internal validation capacity. Our staff has also experience in ECB TRIM process and is able to support the validation procedure of IRB level models.

Under the low interest rate regime, more critical than ever to ensure an optimal asset allocation. Our strong background in macroeconomic and financial modelling, can help you dynamically adjust the portfolio structure to strike the right balance of seizing opportunities with limited downside. We have extensive experience in Interest rate, exchange rate and commodity price modelling, as well as solid background in market risk modelling. Being in tune with the business needs we also place special care to make the modelling results and limitations clear, leaving the decisionmakers in an optimal position to further apply their own experience and judgement.

Risk modelling comes in many flavours and Econlab has experience in most of them. We have supported, banks, asset managers, and commodities trading operations, in keeping their risk exposure at bay. We have experience in building models for rating, stress testing, market risk, and operational risk. We can assist organizations during the whole modelling lifecycle, starting from ensuring data availability and quality, to building and validating models. We also place great importance in building our clients internal capacity, and thus for us, integral part of modelling is the process of knowledge transfer to our clients.

In banking technology and data are the most critical areas of competitive advantage. We can help organizations assess their IT strategy and the viability of current core IT components and help plan out a way forward.

Data also plays a key role in regulatory compliance and  it is the foundation of any quantitative methodology. Having a strong understanding on how the data is utilized in modelling, we can help design data capture and warehousing strategy and help clean and organize older data to meet current needs.

The ever-faster evolution of of banking market regulations means that a growing number of standards have to be met. These new requirements may also have major impact on business models. With background in regulatory positions, EconLab staff is well positioned to help institutions navigate the maze of new requirements in a profitable manner . EconLab’s core speciality is operationalizing the methodological and quantitative requirements put forth by the regulators, in their typical non-prescriptive style that leaves a lot of room for interpretation.

Low interest rate environment and new technologies are reshaping the banking landscape This necessitates more focus on new business models and operational efficiency. This also has brought new regulatory scrutiny as part of the SREP. Therefore, on banks should  proactively review of existing strategy from the point of view of viability and sustainability of the business model, market competitiveness and benchmark their performance to peers. Econlab can help in forging a new strategic direction, and help makes operations leaner.

Selected references

Development of   IRB PD model, including extensive data work (DQ, data cleansing and remediation), segmentation analysis, development of scorecard and calibration, development of detailed calibration testing suite and assessment of RWA impact.

Internal and regulatory stress testing support. Development or ARDL-BACE PD and LGD stress testing models, macroeconomic scenario generation tool and staging module.

Development and continous updating of macroeconomic forcasts to support porfolio allocation decisions of a major insurance company.

EBA EU-Wide Stress Test Exercise, included IFRS9 PD/LGD model review, development of benchmark PD/LGD/EAD models, IFRS9 Impairment calculations, data, analytics and documentation for regulatory review and industrialization of Stress Test/ICAAP framework