The Model Vault holds the Intellectual Property that is used or licenced by its sister company Basinghall Analytics.
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.
Pluto is an end-to-end stress testing and scenario based financial planning tool. Neptune is a model risk management and model risk quantification tool.
Basinghall Analytics (basingha.com), a sister company of The Model Vault, is a hybrid consulting and technology firm based out of London, United Kingdom. Its domain expertise includes risk, finance and treasury.
Prometeia SpA (prometeia.com) is a leading provider of cutting-edge advisory services, technology solutions and research insights.
Econophysica UK Ltd (econophysica.com) provides analytical and programming services to global clients across industries, disciplines and geographies.
Squareshift (squareshift.co) is a specialist cloud computing and cyber security firm based out of Singapore. Its mission is to help its clients harness the power of their data.
CogNext (cognext.ai) is a next-generation Regtech that allows banks and financial institutions to automate and digitize analytical processes at an enterprise scale – using AI/ML algorithms, latest technology stacks and user-centric design. Its mission is to support financial institutions in making their regulatory compliance and analytical processes transparent, interactive, explainable, adaptable, scalable, and cost-effective.
A typical Basinghall Analytics solution involves consulting AND prototype/software. This is their USP: demonstrate what you talk about. This is “best practice in action”. Each component of the solution (consulting advice and software/prototype) both use specialist skills and domain expertise and both use IP from The
Current role: Managing Partner of Basinghall Analytics
Specialisms: stress testing and reverse stress testing, model risk, recovery planning and resolution, capital and liquidity regulation
Notable projects: implementation of a stress testing orchestration platform, implementation of a new model risk methodology and tool, design of supervisory framework at UK regulator
Previous positions include: banking book quant at Royal Bank of Canada, trading book quant at Toronto Dominion bank, Director at Arthur Andersen, Partner at EY, MD at BlackRock, Advisory Lead Partner at Parker Fitzgerald
Education: MSc in Theoretical Physics and PhD in Mathematics from the Swiss Federal Institute of Technology in Lausanne (EPFL).
Current role: Partner and Head of Research at Basinghall Analytics
Specialisms: risk modelling, model risk with expertise across the full lifecycle, risk architecture
Notable projects: developing the counter party credit risk model and obtaining IMM regulatory approval in multiple jurisdictions, establishing model monitoring across the full spectrum of risk models for regulatory capital frameworks (IRB, IMA, IMM) and impairments (IFRS9)
Previous positions include: VP Market Risk Analytics at Citi, Head of Counter party Credit Risk Analytics at HSBC, MD at HSBC
Education: PhD in Theoretical Physics from the University of Cambridge.
I usually work on B2C software, that's my forte--where I shine best. But I also have about 15 B2B software products in my portfolio. I do end-to-end product design + branding.
I only charge hourly for my ongoing projects that need work on the regular. One-time projects are charged upfront to keep it transparent and clean! My hourly rate is $100.
I work Pacific Standard Time, but I'm always ready to help out in emergencies, no matter the hour.
Depends on the scope of the project, really. Some projects take less than a week. Some take months. The best way to find out is to get on a quick call with me, and discuss it. No strings attached!
I quote a price upfront--so that you know exactly what you're paying and for what, and there are no surprises later. The exact cost of your project depends on the scope and requirements!
I take a problem-forward approach. Whether we're iterating on an existing product or building a new one from scratch, how to solve the user's problem in the simplest way possible is my first concern.
Send me an email to understand my process in depth!
The best metrics are customer adoption, happiness, task success, and engagement. There are a number of frameworks such as the System Usability Scale that help us understand product performance and I'm happy to help with that.