Analytics & Models
Quantitative models for financial and energy markets
SigmaQ develops and implements production-ready quantitative models for financial institutions, energy traders and corporates. Our capabilities span IFRS 9 and CECL expected credit loss, PD and LGD modelling, credit portfolio risk, macroeconomic models and stress testing, as well as credit and liquidity risk models for energy trading.
Our work ranges from adapting established SigmaQ models and methodologies to developing fully customized solutions, calibrated to client portfolios and embedded into existing systems and technology environments.
PD & LGD Models
Quantifying the fundamental components of credit risk
SigmaQ develops customized corporate PD and LGD models. Hereby, we can leverage our extensive experience as well as our established proprietary models.
Our proprietary corporate PD methodology uses a Bayesian modelling framework and underlies our large-scale corporate PD data. Our in-depth quantitative expertise is applied to client-specific PD and LGD models, including low-default portfolios and portfolios with limited internal default history.
LGD models complement the default-risk perspective by estimating the loss severity associated with a default, supporting applications in investment portfolios, ECL and broader credit risk management.
Explore our Corporate PD Methodology →
Credit Portfolio Models
From individual exposures to portfolio risk
Credit risk at portfolio level depends not only on individual PDs and LGDs, but also on concentrations, dependencies and diversification effects.
SigmaQ develops credit portfolio models that combine exposure-level risk parameters to quantify portfolio loss distributions, economic capital, concentration risk and tail risk.
Our work covers the full modelling process—from methodology and calibration to implementation within client systems. Models can incorporate internal and external PD/LGD data, dependency structures, sector and geographic concentrations and macroeconomic scenarios.
Our expertise includes standard as well as contingent credit portfolio models, allowing for the measurement of wrong-and right-way risks.
Explore our Credit Portfolio Models →
Macro Models & Stress Testing
Connecting economic scenarios with credit risk
SigmaQ develops and implements macroeconomic models linking economic conditions to credit and portfolio risk. Applications include IFRS 9 and CECL, stress testing, scenario analysis and forward-looking credit risk assessment.
Our work spans model specification, variable selection, estimation, calibration and validation through to implementation in client systems. Existing SigmaQ modelling frameworks can provide a starting point, while models are adapted to the portfolio, available data and application.
The objective is to translate macroeconomic scenarios into quantifiable and economically interpretable changes in risk.
Explore our Macroeconomic Models →
Attribution Analysis
Understand what drives changes in credit risk
Knowing that a company’s PD has changed is only part of the picture. SigmaQ’s attribution analytics identify which financial and market risk factors are driving that change.
The contribution of profitability, leverage, liquidity, valuation, market performance and other model variables can be analysed individually, providing transparency into both the level and evolution of corporate credit risk.
Energy Trading Risk
Bringing market exposure and counterparty credit risk together
SigmaQ develops quantitative models for credit risk management in energy trading, with particular expertise in integrating counterparty credit risk with trading exposure.
Our modelling approach can combine Potential Future Exposure (PFE) with traditional credit portfolio modelling, providing an integrated view of counterparty exposures, dependencies and portfolio-level credit risk.
From Proven Models to Client-Specific Solutions
SigmaQ’s work extends beyond model design and calibration. We develop quantitative solutions through to production implementation, integrating models into clients’ existing data, risk and reporting environments, supporting automated data processing, model execution, scenario analysis and reporting.
Depending on the application, we can build on existing SigmaQ models and methodologies or develop a fully customized solution. We support the complete model lifecycle—from methodology and data through calibration and validation to implementation and ongoing operation.
Talk to SigmaQ
Whether you are developing a PD or LGD model, reviewing portfolio credit risk, building a stress-testing framework or addressing a quantitative energy trading problem, we can discuss the modelling approach that best fits your requirements.