Financial Modeling and Risk Management

Prognoz Risk Lab is our laboratory for financial modeling and risk management. The lab takes a unique approach that combines the principles of fundamental science and technologies applied in commercial BI systems. Laboratory employees are involved in quantitative analysis of finance through mathematical modeling and simulation experiments. The results of this research and development often appear in Prognoz software products.

Prognoz Risk Lab provides the following services:

  • Developing market, credit, and operational risk assessment models, as well as analyzing scenarios and stress-testing models based on international standards
  • Developing models of fair bond pricing, and assessing the interest rate curves and credit spreads of issuers and individual issues
  • Developing models of banking-product markets with due account of exogenous factors, and forecasting the dynamics of key financial indicators
  • Performing quantitative research on market mircostructure: Identifying price shocks at different levels, and analyzing the dynamics of financial bubbles and system stability

Our models are tailored to each specific country. Parameters are assessed and verified on the basis of empirical data provided by the customer as well as our own extensive database.