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Quaternion Risk Management UK Ltd. Office

29th Floor, 1 Canada Square, Canary Wharf,

Quaternion Risk Management Ltd. Head Office

54 Fitzwilliam Square

Quaternion Risk Management Deutschland GmbH Office

Maurenbrecherstrasse 16

Quaternion Risk Management Inc. Office

World Financial Center 200 Vesey Street 24th Floor
New York


+44 7900 287361


Caroline Caroline To
[email protected]

Risk Consultancy – pricing and risk analytics

Our services encompass Quant methodology support, bespoke development, risk remediation. A solution may include our open source, Quaternion Risk Engine (QRE), whose transparency facilitates regulatory sign off. Support includes, e.g.:

– Credit exposure
– Multicurve pricing/OIS discounting
– IM
– Back testing
– Stress testing
– Model validation
– Model calibration
– capital optimisation, RWA analytics
– working to achieve regulatory sign off – Basel III, IFRS 13, BCBS185, etc.
– aligning models between front office, Risk, Finance, Treasury

For more information please see

View other products from Quaternion Risk Management Ltd.

Quaternion Risk Engine - an open source transparent solution

QRE is an open source Monte Carlo risk engine using QuantLib instruments optimised for performance. It provides powerful risk and pricing analytics for: • Credit Risk – CVA/XVA, PFE, CVaR, scenario analysis • Market Risk – VaR/ETL, sensitivity analysis, stress testing • Liquidity Risk – gap analysis under funding/investment/market scenarios • Pricing a wide range …

Model Validation Service - with a successful track record

Our Model Validation Service uses the QRE open source transparent risk engine to facilitate regulatory sign off, including for CVA/XVA, taking into account latest regulatory guidance (MaRisk, BCBS185, SR 11-7, etc.): 1) Define scope (SR11-7 compliance) 2) Review existing methodology, trade scope, input data 3) Define Limitations/Assumptions 4) Choose benchmark from QRE models for IR/FX/CR/EQ/CO/INF …