1. Interest Rate Risk in the Banking Book (IRRBB) Model Development and Validation
The collapse of major financial institutions has highlighted the critical role of interest rate risk management. Our IRRBB solutions ensure that banks effectively measure and mitigate risks associated with asset-liability mismatches, prepayment behaviours, and deposit volatility.
Optimized Numerical Ability
RsRL’s core expertise are at providing solutions with strong mathematical & intense computation ability. Our quantitative analysis is designed with industry’s best speed & accuracy towards rapid calculations of complex instruments.
Key features
2. Fund Transfer Pricing (FTP) Optimization & Validation
A transparent, risk-sensitive FTP framework is essential for effective balance sheet management and capital allocation. Our approach ensures that FTP methodologies are aligned with liquidity risk, market dynamics, and regulatory requirements.
Key features
3. Why Choose Us?
Deep Expertise in Risk & Pricing Models
With a strong foundation in quantitative finance, regulatory compliance, and AI-driven modelling, our team brings decades of experience in developing and validating financial risk frameworks for global institutions.
Independent Validation for Robust Compliance
We ensure adherence to regulatory requirements while enhancing risk-adjusted pricing strategies, enabling financial institutions to optimize profitability while mitigating risk exposure.
Cutting-Edge Technology & Research-Driven Insights
Our proprietary risk quantification frameworks leverage stochastic modeling, machine learning, and Monte Carlo simulations to provide accurate risk measurement and dynamic pricing solutions.
Get in Touch
For more information on how our IRRBB and FTP solutions can enhance your financial institution’s risk management and pricing strategies, reach out to us today.
4. Our Experts in IRRBB & FTP Model Validation
Our team consists of globally recognized experts with extensive experience in quantitative finance, model validation, and regulatory compliance. Their expertise spans interest rate risk management, stress testing, behavioral modeling, and fund transfer pricing optimization.
Sergio Scandizzo – Head of Model Validation
A seasoned risk management expert with leadership experience at the European Investment Bank (EIB), Sergio specializes in model governance, regulatory compliance, and advanced risk analytics. His work in internal model validation for IRRBB and FTP frameworks ensures adherence to Basel and central bank regulations. With a deep understanding of stress testing, economic value of equity (EVE), and net interest income (NII) sensitivity analysis, Sergio provides strategic insights for optimizing risk-adjusted profitability.
Ratan Mahanta – Quant Team Leader
A specialist in IRRBB risk modelling, FRTB, and advanced computational finance, Ratan has over a decade of experience in quantitative model validation. His expertise includes Monte Carlo simulations, liquidity premium calibration, and machine learning-driven risk analytics. Ratan has successfully led model validation initiatives for major financial institutions, ensuring compliance with evolving regulatory frameworks while optimizing funding cost allocation and balance sheet management.
Avradip Mandal – Senior Quantitative Analyst
With a background in high-performance computing, risk analytics, and AI-driven financial modelling, Avradip specializes in IRRBB behavioural models and FTP curve construction. His expertise lies in stochastic modelling, quantitative stress testing, and predictive analytics for prepayment and deposit outflow behaviours. Avradip has worked on real-time model validation frameworks, leveraging data-driven insights to enhance risk measurement and pricing strategies for banks and financial institutions.
Harman Deep Kaur – Quant Analyst
Harman brings expertise in interest rate modeling, IRRBB stress testing, and economic capital assessment. Her work in EVE and Earnings at Risk (EaR) modelling enables financial institutions to measure interest rate exposure and optimize capital buffers. She has a strong background in data analytics, FRTB implementation, and model risk validation, ensuring robust risk management frameworks that align with regulatory requirements.
Our experts leverage cutting-edge financial modelling techniques, stress testing methodologies, and deep regulatory expertise to deliver best-in-class IRRBB and FTP solutions that enhance resilience, optimize profitability, and ensure regulatory compliance..
5. Advisors & Industry Experts
Our advisors bring decades of expertise in quantitative finance, model validation, risk management, and regulatory compliance, having advised central banks, global financial institutions, and regulatory bodies. Their insights ensure robust model governance, stress testing, and advanced risk quantification.
Prof. Moorad Choudhry – Senior Independent Advisor
A globally recognized expert in banking risk management, liquidity risk, and FTP framework design, Professor Choudhry brings extensive experience from JPMorgan Chase, RBS, and Europe Arab Bank. As an authority on fund transfer pricing, asset-liability management (ALM), and Basel regulatory compliance, his insights help institutions enhance risk-adjusted pricing mechanisms and strengthen resilience against market shocks. His thought leadership on IRRBB, FTP optimization, and model governance is widely respected in the financial industry.
Prof. Tolu Fadina – Risk Modelling & Model Uncertainty Expert
A leading researcher in model risk, financial mathematics, and uncertainty quantification, Prof. Fadina specializes in stress testing, model governance, and regulatory compliance. Her work in VaR, Expected Shortfall (ES), and risk-sensitive capital allocation ensures that financial models remain resilient against market shocks. With a PhD in Financial Mathematics, she has advised global regulators and financial institutions on model risk mitigation strategies.
Maurizio Piglia – Quantitative Fund Manager & Treasury Expert
A quantitative asset manager with extensive experience in treasury operations, fixed income trading, and interest rate risk management, Maurizio has worked with financial institutions in Italy, Switzerland, and New Zealand. His expertise in liquidity risk management, ALM strategies, and portfolio risk optimization makes him a key advisor for IRRBB model enhancement and FTP curve calibration.
Prof. Freddy Delbaen – Pioneer in Risk Measures & Arbitrage Theory
One of the founding figures in modern risk measurement, Prof. Delbaen has made groundbreaking contributions to quantitative finance, risk modeling, and financial mathematics. He co-developed the theory of risk measures, critically shaping regulatory capital frameworks, IRRBB stress testing, and FTP risk adjustments. His expertise ensures that financial models align with regulatory best practices and advanced stochastic risk assessment techniques.
Prof. Chitro Majumdar – AI-Driven Risk Modelling & Systemic Risk & Resilience Expert
As the Chief Founder of RsRL, Prof. Majumdar has pioneered AI-powered risk quantification, model validation, and sovereign risk hedging strategies. With experience advising central banks, regulators, and global financial institutions, he specializes in AI-driven IRRBB model enhancements, FTP recalibration, and systemic risk assessment. His work in stochastic optimization, regulatory technology, and quantitative risk analytics is widely recognized in academia and the financial industry.
Delivering Best-in-Class Risk & Pricing Solutions
Our advisors bring unparalleled expertise to model validation, regulatory compliance, and financial risk management, ensuring that institutions enhance resilience, optimize pricing models, and meet evolving regulatory expectations.
Contact us to explore how our expertise can enhance your IRRBB and FTP frameworks.
Get in touch with us today to explore how we can help your institution optimize risk and pricing models.
