Neon Risk Consulting

Our purpose: When we help our clients better quantify and manage their risks, we contribute to a safer financial system and a more stable economy where people can thrive. What we do: We are a consulting team specialized in credit risk modelling. In the context of active credit portfolio management, we help our clients develop or validate- Counterparty, facility and collateral risk models (parameters: PD, EAD/CCF/LEQ, LGD and Dilution)- Portfolio loss distribution models (parameter: assets’ correlation structure), and - Securitization models (tranches’ risk parameters: PD and LGD). Last, but not least, we are cost aware. We make sure that our daily rates are competitive; and that the frameworks and models we put in place are cost-effective over their life cycles – in terms of: cost of data, time required from analysts to use our models, and cost of implementation, review and maintenance. Recent projects-[CIB] Development of a PIT forward-looking LGD model covering commodities' specialised-lending exposures (limited-recourse finance)- used for IFRS 9 provisioning and stress testing purposes -[CIB] Development of a PIT forward-looking LGD model covering Large Corporate unsecured exposures -[Banking group] IRB-repair of Financial Institutions rating system (covered counterparties: Banks, Insurers, Mutual and Alternative-Investment Funds, Independent Brokers and Asset Managers - differentiation and quantification of default risk)-[Banking group] Remediation of the IAA model covering ABCP conduits (securitization) – including the calibration of the correlation parameter (using the Vasicek framework)-[Banking group, MRM] validation of Personal-Finance IRB LGD models -[Banking group] Backtesting of Factoring rating system (incl. the dilution parameter)[.] If you have any questions regarding our value proposal, please contact us at: contact@neonrisk.com