BankingBook Analytics (BBA) specializes in design and development of best practice risk and capital management applications using Machine Learning and advanced statistical techniques. Our clients include: banks, specialized lending institutions, credit unions, insurance companies and asset managers.

1. BBA leads in developing scaled technology solutions
customized to meet analytics and compliance needs
applications are engineered by an interdisciplinary
team of risk experts, that includes quants, consultants
and software engineers.
The applications that we develop are hosted on a
secure cloud, ensuring low service cost that meets
your budget. Our FinTech edge helps clients succeed
by developing integrated decision-making systems.
organized in four building blocks:
With roots in management consulting, our core
competence is that we understand business, its
changing and emerging forms.
We offer transformative approaches, advanced
technological tools to support analytics, and best in
class models based on Machine Learning.
+1-905-499-3618 contact@bankingbookanalytics.com Bankingbookanalytics.com
BBA's Risk Framework
Banking Book
Analytics (BBA)
Products and
Services Overview
REFINE AND AUTOMATE DATA,
RISK AND CAPITAL
MANAGEMENT
APPLICATION
CONSLTANCY FOR
BESPOKE
SOLUTIONS
SCALABLE MODELS
AUTOMATION
WORKFLOW
ENHANCEMENT THAT
IMPROVE
PERFORMANCE AND
BOTTOMLINE

2. REGULATORY COMPLIANCE APPS
+1-905-499-3618 contact@bankingbookanalytics.com Bankingbookanalytics.com
Driver Mandate BBA Application Title
• Basel Committee for Banking Supervision:
Basel II and Basel III: Pillar 1 Capitalization
• CFO/CRO
• Credit risk
capitalization
• Basel II/III Credit risk
capitalization
• This application determines
capital requirement under
Pillar 1, based on the output
of credit risk models
• Basel Committee for Banking Supervision:
Supervisory Review Process
• CFO/CRO
• Pillars 1 and 2 risks
capitalization
• Internal Capital Adequacy
Assessment (ICAAP)
• Using Through the Cycle
data, our ICAAP engine
capitalizes Pillar 1 & 2 risks,
provides capital forecasts
based on the annual business
• European Banking Authority: Supervisory
Review and Evaluation Process
• CFO/Treasury
• Pillars 1 and 2 risks
capitalization
• Internal Liquidity
Adequacy Assessment
(ILAAP)
• This application develops
regulatory liquidity risk
metrics and forecast
• OSFI: Guideline Impact Analysis Statement
(Stress Testing)
• Federal Reserve: Dodd Frank Stress Testing
• Federal Reserve: SR 15-18
• Federal Reserve: SR 15-19
• CFO/CRO
• Simulation of
shocks which have
not previously
occurred
• CET 1 Stress Testing
• Using forward-looking data,
this application develops
Available Financial Resources
and provides assessment of
Capital Buffer
• OSFI: Enterprise-Wide Model Risk
Management for Deposit-Taking Institutions
• Federal Reserve: SR 11-7: Guidance on Model
Risk Management
• CRO/CIA
• Credit risk models’
validation by 2nd
and 3rd Lines of
Defense
• Auto-validation
• Standardization and
automation of validation
tests
• International Accounting Standards Board:
IFRS 9
• CFO/CRO
• Loan Loss
Provisioning
• IFRS 9 Impairment
Analyzer
• Expected Credit Loss
metrics for performing, non-
credit impaired and credit
impaired loans
• Financial Accounting Standards Board:
Current Expected Credit Loss
• CFO/CRO
• Allowance for loan
losses and leases
• CECL ALLL Analyzer
• Current Expected Credit
Loss metric using Life of Loan
approach for performing and
non-performing
• Basel Committee for Banking Supervision:
Basel II/Pillar 1: Operational risk
• CRO
• Management of
Operational risk
• Operational risk capital
model
• Scenario-based stochastic
operational risk model that
curves using Montel Carlo
simulation
• Can also be used for Cyber-
risk
• Basel Committee for Banking Supervision:
Basel II/Pillar 2: Interest rate risk in
Banking Book
• Treasurer/CFO
• ALCO
• Interest rate risk
shocks
• Deposit modelling
• Interest rate risk in
Banking Book
• Capitalize interest rate risk
• Determine duration
and project the value of
indeterminate maturity
deposits

3. BALANCE SHEET AND PROFITABILITY ANALYTICS APPS
RISK AND FINANCE INSPIRED CONSULTANCY THEMES
+1-905-499-3618 contact@bankingbookanalytics.com Bankingbookanalytics.com
Driver Mandate BBA Application Title
• Data management
• Factors selection
• Predictive power of PD, LGD and EaD
factors
• CRO
• Business
Units
• Model Builder
• Do not rely on external ratings
and credit scores, build you
own rating models with factors
that accurately predict default
• Retail credit scoring
• CRO
• Business
Units
• Retail Lending Specialist
• Probability of Default and Loss
Given Default estimates for
residential mortgages, retail
loans, credit cards, HELOC
and purchased receivables
• SME and corporate credit risk
estimation
• CRO
• Business
Units
• Mid-market & Wholesale
Lending Specialist
• Estimates of dual risk metrics –
Probability of Default and Loss
Given Default across Mid-Market,
Commercial Real Estate, Project
Finance and Corporate Loans
• Optimization of return vs. safety
• CEO
• CRO
• Risk-Weighted Assets (RWA)
Optimization
• Project and optimize RWAs
without distorting asset mix.
Key features of this application
include: Forecast “base case”
and “stressed” RWA consumption
and identify business actions to
reduce RWAs
• Strategic pricing
• Risk-based pricing
• Market pricing
• CEO/COO
• Treasurer
• Retail Pricer
• Develop floor and ceiling for your
product-based retail pricing using
multi-year Expected Credit Loss
and Capital estimates
• Strategic pricing
• Risk-based pricing
• Market pricing
• CEO/COO
• Treasurer
• Corporate Pricer
• Simulated pricing for non-retail
loans using multi-year risk and
capital frameworks for effective
pricing decisions
Risk and Capital
Regulations