About
White-Box Partners are mathematical finance practitioners who will guide and assist you to gain transparency and certainty of the mathematical models and methods, irrespective of complexity, used in your firm.
White-Box Partners use both analytical and numerical methods including big data, machine learning and simulation to define, solve, implement, validate and deploy mathematical models, methods and computational techniques used in the management and measurement of credit, market, capital and model risk. And have at least 20 years of experience using and deploying open source technology.
White-Box Partners practitioners have qualifications and research inteterests in quantitative disciplines, for example, computer science, economics, engineering, mathematics, physics and statistics. Able to abstract quantitative solutions from complex problems and the skills to accurately and effectively communicate findings and conclusions.
White-Box Partners’ deep understanding across credit, market, capital and model risk offer your firm unique and integrated enterprise risk management solutions.
What
Credit risk is the management and measurement of non-traded credit asset and instrument value given changes in risk factors. White-Box Partners will guide and assist you to define, solve, implement, validate and deploy best practice models of joint Exposure at Default (EAD), Loss Give Default (LGD), Probability of Cure (PC), Probability of Default (PD) and Probability of Prepayment (PP).
Market risk is the management and measurement of traded asset and instrument value given changes in risk factors. White-Box Partners guide and assist you to define, solve, implement, validate and deploy best practice models and methods of Fixed Income, Currency and Commodity (FICC) and traded credit derivative instrument valuation.
Capital risk is the management and measurement of firm capital with consideration for loss mitigation and efficient use. White-Box Partners will guide and assist you to define, solve, implement, validate and deploy Fund Transfer Pricing (FTP), Prepayment Risk (PP), Interest Rate Risk in the Banking Book (IRRBB) and Internal Capital Adequacy Assessment Process (ICAAP) models and methods accounting for the firm’s measurement of income, expense, funding, credit, market and operational risk.
Model risk is the management and measurement of risk associated with possible adverse outcomes due to the failure or inadequacy of the mathematical models and methods used to quantify financial risk and inform decisions.
Who
How
Deploy make a useable solution available. Feedback is expected and encouraged, anticipate evolving the problem.
Validate check the result. Did we implement the agreed method, did we solve the problem.
Implement execute. Implement the agreed approach or method with consideration for solution evolution and scale.
Define establish the problem, solution and accountability scope. Ensure the problem is as understood and that White-Box's approach is applicable. Often when considered in isolation or part the business can omit or does not have full information.
Solve propose a mehod. Express the solution and any abstraction mathematically and/or in pseudo code.
Confirm agree on the approach or method. Get all solution dependants on the same page, some education may help and be necessary.
