Quantitative modeling, model validation, and IT engineering applied to Risk Management
In an increasingly model-driven, regulated, and technology-intensive financial landscape, Cogniwave Dynamics operates at the intersection of applied mathematics, advanced IT, and regulatory compliance.
We support our clients throughout the full model lifecycle: from design and implementation to IT integration and independent validation of risk and valuation models.
Our hybrid positioning—combining quantitative expertise, technology, and regulatory knowledge—enables us to meet the needs of modeling teams, independent validation units, front-office quants, risk managers, and IT commandos with tailored, robust, and auditable solutions.
Model Validation
Independent model validation is a core regulatory requirement imposed by supervisory authorities (ECB, ACPR, Fed, etc.). Cogniwave Dynamics supports Risk and Validation departments in reviewing internal models:
- IRB, IFRS 9, FRTB, CVA, IMM, IRRBB, IFRS 17 models, etc.
- Recalibration, external benchmarking, backtesting, and sensitivity analysis.
- Validation of statistical, structural, and machine learning models.
- Drafting of validation reports aligned with TRIM/ECB expectations.
We operate in both 1st and 2nd lines of defense (Internal Model Validation, Independent Review), delivering complete, tested, and fully documented deliverables.
Quant IT and Commando Support
Our “hybrid” consultants work closely with market, risk, or ALM teams in highly technical roles:
- Development of pricing libraries, risk analytics, backtesting, stress testing in Python, C++, R, SAS, etc.
- Creation of integrated quant IT frameworks within valuation and risk calculation chains.
- Front-office or middle-office quant support for short-term, high-impact assignments (“quant commando” roles).
- Bridging business, risk, data, and IT teams in large transformation projects.
Our profiles combine academic excellence (PhD, engineering degrees), validation discipline, and deep knowledge of complex technical environments.
Quantitative Finance Expertise
Our quant teams have strong experience in financial modeling applied to:
- Valuation of complex financial assets: interest rates, credit, equities, hybrids, and exotics.
- Construction of stochastic models.
- Model calibration.
- Monte Carlo simulations, binomial/trinomial trees, etc.
We embed these models into solutions optimized for operational constraints: performance, scalability, and auditability.
Derivatives Pricing & Risk Management
We support our clients across all asset classes (vanilla and exotic derivatives):
- Analytical or numerical pricing of derivatives (options, swaps, CMS, CDS, Bermudans, cliquets, autocallables, etc.).
- Calculation of Greeks, P&L profiles, and cross-sensitivities.
- Implementation of dynamic hedging tools, stress scenarios, and robustness tests.
- Integration of valuation adjustments (XVA, FVA, MVA) into pricing engines.
- Structuring of customized derivatives with embedded risk analysis.
We also provide model transparency through Explainable Quant tools integrated into FO/BO workflows.
ALM Modeling
We strengthen ALM functions with advanced modeling capabilities:
- Construction of behavioral models for non-maturing deposits, early repayments, and embedded options.
- Development of multi-period balance sheet simulators integrating interest rates, inflation, credit spreads, and customer behavior.
- Integration of IRRBB, net interest income forecasting, and ALM cash flows into steering engines.
- Generation of stochastic or regulatory scenarios (EBA, ECB) for structural risk projections.
Our solutions combine quantitative modeling, data science, and dynamic interfaces (BI, notebooks, APIs).
Market, Credit & Liquidity Risk Modeling
We develop and validate integrated or standalone models for:
- VaR, Expected Shortfall, and risk factor sensitivities (FRTB, backtesting).
- IRB models: logistic regression, survival models, hybrid ML, behavioral scoring.
- Liquidity risk models: cash-flow engines, dynamic buffers, stress testing.
We also assist with model governance: mapping, documentation, periodic testing, and performance KPIs.
Counterparty Risk Management (CVA, FVA, IMM)
Counterparty risk is now governed by strict regulatory frameworks (SA-CCR, IMM, FRTB-CVA). Our services include:
- Computation of future exposures (EPE, EE, PFE, EAD) through simulation or approximation.
- Integration of CVA/FVA into risk reporting.
- Support for IMM compliance (Internal Model Method) and regulator interactions.
- Optimization of collateral management and balance sheet impacts from margin calls.
Our tools simulate, visualize, document, and justify exposure profiles by counterparty or portfolio.
Our Expert Services in Quantitative Modeling and Validation
- Independent model validation (IRB, IFRS 9, CVA, FRTB, XVA).
- Development of quantitative calculation libraries (Python, C++, etc.).
- Structuring of complex derivatives and pricing engines.
- IT Quant and front-to-back commando support.
- ALM modeling and integrated balance sheet simulation.
- Design and oversight of risk modeling frameworks.
Bridging Quant Excellence and Technological Scalability
At Cogniwave Dynamics, we leverage cutting-edge quantitative innovation to serve regulatory compliance, risk control, and data-driven value creation.
Thanks to our agile, interdisciplinary team, we can operate across the full financial risk value chain—from mathematical model design to real-time calculation engines.
