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What We Do

Developing industry-wide best practices and working with clients to adopt those practices is the cornerstone of our 20-year record of innovative risk management. Through rigorous research and development guided by industry analysis and interactions with clients, we continuously improve our clients' ability to measure and manage all forms of financial risk. The best practices we build allow institutions to make the best decisions in the shortest amount of time, and with as few resources as possible. The result is enhanced risk-adjusted returns.

Timeline of Innovations:

1987

  • QRM was founded with the vision to apply modern option pricing theory to the problems of a mortgage pipeline and bank balance sheet. Market risk of entire mortgage banking position or bank balance sheet was accurately summarized on a single sheet of paper
  • Developed a variable quantity option model used to determine the interest rate risk, value, and optimal hedge positions for a mortgage pipeline

Late 1980s

  • Developed an option-adjusted spread approach to determining the value and interest rate risk of deposit accounts
  • Developed and assisted clients in adopting an option-adjusted spread-based methodology for asset-liability management and secondary marketing

Early 1990s

  • Drove clients towards portfolio optimization and use of complex derivatives in the ALM process
  • Drove clients to integrate true market value analysis and interest income forecasting (including forward market value analysis on a dynamic balance sheet)

Late 1990s

  • Drove industry to utilize stochastic simulations within their ALM forecasts (multiple-rate scenarios, market and NII)
  • Assisted clients with integrating multi-currency VaR into their ALM processes
  • Developed the first option-adjusted FTP/profitability process

Early 2000s

  • QRM clients were the first to integrate credit risk management processes into their balance sheet management practice
  • Enabled clients to distribute planning and forecasting (SVA) to the business line and cost center level

Late 2000s

  • Drove clients to forecast interest rate, currency, and economic scenarios at the same time, in order to provide a total risk view for planning economic and regulatory capital
  • Led clients to develop Basel II methods that enable forecasting of future capital positions and regulatory requirements
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