PhD, ETH Zürich · Financial Risk Manager · IMD Future Leaders
Risk, capital & regulation
If it can't be reproduced, it can't be defended.
Risk and capital models need to do more than be methodologically sound. Their results must be reproducible, explainable and robust in both regulatory and operational contexts. We develop and modernise models and calculations for banks and insurers, from market risk and FRTB to the SST and Solvency II.
A model earns trust when its methodology, data, software and documentation express the same logic. The result can then be traced from its inputs to the capital or solvency conclusion and explained soundly to validation teams, management and supervisors.
Nuitio connects quantitative modelling with the software that makes it usable in practice. This produces tested, reproducible calculations whose logic, numerical properties and results remain open to review.
A useful starting point may be a new regulatory requirement, a model component that has yet to be implemented, a calculation that is too slow or a validation finding. We can take ownership of a clearly bounded part, modernise the existing calculation environment or develop a model jointly with the client team through to operational use.
Selected projects
From our founders’ past and present work
Contagion Solvency Model
For a multinational insurer, the model quantifies how a deterioration in one group entity’s financial position affects the solvency of others. It maps connections such as ownership, internal reinsurance and guarantees, then calculates the resulting knock-on effects across the group.
FINMA-approved and used group-wide in production.
Bank-Wide Market Risk Calculation (FRTB-SA)
For a Swiss bank, a bank-wide calculation determines the regulatory capital requirement for market risk. It consolidates the required risk and position data from the bank’s trading and risk systems.
The bank-wide calculation is in operational use.
Your point of contact
Talk to Tobias
Send Tobias a short note about what you have in mind. In an initial conversation, we discuss the project and possible next steps.