Model implementation
From mathematical specification to production code, with the tests and documentation to keep it maintainable.
Model & system development
Models and systems that survive production.
We build the bridge between regulatory methodology and the numbers that risk, finance and the regulator actually see — with the tests and documentation to keep it working.
Where we help
From specification to a system you can operate.
A model is not delivered until it runs reliably, can be explained, and can be changed without breaking something else.
Risk system architecture
Data flows, compute, storage and integration for counterparty credit risk and market risk systems.
Documentation and controls
Model documentation, change control, validation evidence and the operating model around the system.
Testing and automation
Synthetic portfolios, regression tests, back-testing pipelines and automated quality reporting.
Data quality
Gap analysis across collection, transformation and storage, with practical remediation plans.
Team and delivery
Building and leading mixed teams of quants, engineers and business analysts to deliver the system.
Selected platform
A digital twin for financial systems.
Virtufin mirrors every trade, stream and exchange into a live, event-driven simulation — so strategies can be tested against production data without production risk.
Patrick Häner manages a team of AI agents delivering the platform.
Visit virtufin.com
Engagement
What a typical engagement looks like.
We work from the mathematical definition through to the production system, the tests and the documentation the institution needs to operate it.
Typical problems
- Methodology exists but is not in production
- A legacy risk system is hard to change or extend
- Data quality undermines exposure and capital numbers
- Model change is manual, untested or poorly documented
Deliverables
- Model and system design
- Production implementation
- Automated tests and back-testing pipeline
- Documentation, controls and handover
Selected work
Systems built from scratch and around constraints.
Client names are withheld. The delivery patterns are representative.
Global Japanese bank
Basel II compliant credit exposure system
An IMM-compliant counterparty credit risk system built from scratch by a team of quants, engineers and analysts.
Read the case study
Requirement
The bank planned to apply for an IMM waiver under Basel II to reduce regulatory capital, but did not have an IMM-compliant counterparty credit risk system.
Solution
As global head of counterparty credit risk analytics, Patrick Häner built and led a team of quants, software engineers and business analysts to deliver the system from scratch.
Benefit
The cost of building the system was a fraction of the regulatory capital it helped to save.
Global South African bank
Back-testing infrastructure for IMM models
A synthetic-portfolio, exposure and reporting pipeline that made IMM back-testing repeatable.
Read the case study
Requirement
The bank used a third-party credit exposure system and needed to build IMM-compliant back-testing capability around it.
Solution
Using C#, IronPython and R, we built a system that created synthetic portfolios, calculated exposures and produced automated back-testing reports.
Benefit
The client met the back-testing requirements under IMM with a process that could be repeated and audited.
Building something that has to work?
Whether you are replacing a legacy system or adding a new model, we can help with the architecture, the implementation and the evidence.