Stochastic modeling applied to corporate credit risk underwriting
Beyond static accounting ratios, we engineer continuous-time probabilistic models to measure corporate vulnerability to liquidity crunches and tail-risk shocks.
Quantitative Desk · Stochastic Modeling · Paris
Quantitative Desk Technical Architecture
Academic foundations & proprietary methodologies
A fully documented empirical framework where mathematical assumptions are benchmarked against live debt market transactions.
Extended Merton Structural Model
Equity is modeled as a European call option written on total corporate assets. We enhance classical formulation with stochastic default boundaries and illiquid real collateral assets.
Regime-Switching Models
Market volatility is not constant; it alternates between dormant states and severe stress phases. Our Hidden Markov Models detect regime transitions prior to spread widening.
Extreme Value Theory (EVT)
Gaussian distributions drastically underestimate the probability of tail market events. We apply the Generalized Pareto Distribution to model fat tails and compute extreme Value-at-Risk (VaR 99.9%).
Access time-series datasets & research notebooks
Data series generated by our quantitative observatory are made accessible to academic researchers and institutional counterparties upon formal application.