IP that enhances specialist consulting

Sophisticated software applications for end-to-end stress testing, scenario-based financial planning, recovery planning, model risk management, model risk quantification, third-party model execution independent of language. See Pluto and Neptune below.

Synthetic data that mimics real data and can be used as part of model build or validation. Examples include data describing the evolution of the mortgage book of a typical bank.

Database of benchmarks, including performance metrics for IRB and IFRS 9 models, commonly accepted thresholds for these metrics, metrics for model bias and noise including for AI and ML models.

We own the design rights for a variety of reporting dashboards that describe, e.g. model risk quantification, model risk management, stress test results, reverse stress testing metrics.

We own a large and increasing proprietary library of models and algorithms. Examples include Machine Learning credit risk models, IRB PD and LGD models, IFRS 9 models, pricing models for trading book for a variety of underliers, algorithms to compute bias and noise for traditional and AI models (model risk quantification).

We have encoded details of important processes and our Pluto software allows an automated orchestration of these processes. Examples are stress testing exercises of the Bank of England (STDF) and of the European Banking Authority (EBA-ST), recovery planning, reverse stress testing, workflows and user journeys for model risk management.