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Here Some of the Analytics Methods That Can Be Used in the Areas Identified Below 

Strategic Analytics Methods

 

Qualitative

  • Value Chain Analysis

  • Consumer Survey

  • Program Evaluation and Review Technique (PERT)

  • TOWS matrix (SWOT)

  • Five forces

  • Competency-based design and reengineering

  • Cognitive mapping

  • Soft systems methodology (SSM)

  • Viable systems model (VSM)

  • Hierarchical functional model

  • Resource-based analysis

 

Semi-Quantitative

  • Tobin´s q

  • Intangible Assets Monitor

  • Brand Equity

  • System dynamics

  • Balanced Scorecard

  • Real options

  • Scenario analysis

  • Capital investment appraisal

  • Critical systems heuristics (CSH)

  • Sensitivity analysis

  • System dynamics models

  • Rate of return analysis

  • Network hierarchical nesting

  • Strategic assumption surfacing and testing (SAST)

  • Correlation

  • Covariance

  • Interpolation

  • Extrapolation

 

Quantitative

  • Cluster Analysis

  • Conjoint Analysis

  • Principal Components Analysis

  • Correspondence Analysis

  • Fuzzy Classification

  • Ordinary Least Squares (OLS)

  • Generalized Least Squares (GLS)

  • Generalized Linear Models (GLM)

  • Game theoretical models

  • Polynomial Regression

  • Partial Least Squares Regression

  • Multidimensional Scaling (MDS)

  • Classification Trees

  • Multivariate Analysis of Variance or Covariance

  • Times Series Forecasting

  • Econometric Modeling

  • Linear Mixed Models or Residual Maximum Likelihood (REML)

  • Structural Equation Models

Operations Analytics Methods

 

Qualitative

  • Value Chain Analysis

  • Consumer Survey

  • Means-ends analysis

  • Value analysis

  • Hierarchical functional model

  • Resource-based analysis

 

Semi-Quantitative

  • Probability distributions

  • Scenario-based models

  • Sensitivity analysis

  • Bayesian analysis

  • System dynamics models

  • Rate of return analysis

 

Quantitative

  • Cluster Analysis

  • Conjoint Analysis

  • Principal Components Analysis

  • Correspondence Analysis

  • Fuzzy Classification

  • Causal Modeling

  • Human capital monitor

  • Network analysis

  • Decision trees

  • Frequency distribution models

  • Severity distribution models

  • Loss distribution approaches

  • Neural networks

  • Design of Experiments

  • Maximum Likelihood Estimation (ML)

  • Moment Estimation Method (MLE)

  • Quantile Estimation Method

  • Poisson Models

  • Negative Binomial

  • Extreme Value Theory (EVT)

  • Generalized Pareto Distributions (GPD)

  • Ordinary Least Squares (OLS)

  • Generalized Least Squares (GLS)

  • Generalized Linear Models (GLM)

  • Game theoretical models

  • Polynomial Regression

  • Partial Least Squares Regression

  • Multidimensional Scaling (MDS)

  • Classification Trees

  • Multivariate Analysis of Variance or Covariance

  • Times Series Forecasting

  • Econometric Modeling

  • Linear Mixed Models or Residual Maximum Likelihood (REML)

  • Structural Equation Models

 

Analytics Methods To Use on External Data for Example like the Economic Variables

 

Quantitative

  • Time Series Analysis

    • ARIMA and ARMAX Models

    • ARCH and GARCH Models

    • Prais-Winsten Regression

    • Vector Autoregression (VAR)

    • Structural Vector Autoregression (SVAR)

    • Vector Error Correction Models (VECM)

    • Nonparametric Time Series Analysis (CAFPE)

    • Smooth Transition Regression (STR)

    • Cointegration

  • Simultaneous-Equation Models

 

 

Risk Selection Analytics

 

Semi-Quantitative

  • Probability Distributions

  • Scenario Analysis

  • Sensitivity Analysis

  • Rate of return analysis

 

Quantitative

  • Random variables and distributions

  • Expectations and moments

  • Probability distributions

  • Maximum likelihood

  • Claim frequency and claim size analysis

  • Experience rating

  • Exposure rating

  • Bayesian method

  • Maximum loss

  • Ordinary Least Squares (OLS)

  • Generalized Least Squares (GLS)

  • Generalized Linear Models (GLM)

  • Polynomial Regression

  • Partial Least Squares Regression

  • Multidimensional scaling (MDS)

  • Classification Trees

  • Multivariate Analysis of Variance or Covariance

Some Premium Risk Analytics Methods

 

Semi-Quantitative

  • Scenario analysis

  • Sensitivity analysis

  • Correlation

  • Covariance

  • Interpolation

  • Extrapolation

 

Quantitative

  • Probability distributions

  • Maximum loss

  • Cluster Analysis

  • Conjoint Analysis

  • Principal Components Analysis

  • Fuzzy Classification

  • Ordinary Least Squares (OLS)

  • Generalized Least Squares (GLS)

  • Generalized Linear Models (GLM)

  • Game theoretical models

  • Polynomial Regression

  • Partial Least Squares Regression

  • Multidimensional Scaling (MDS)

  • Multivariate Analysis of Variance or Covariance

  • Times Series Forecasting

  • Econometric Modeling

  • Linear Mixed Models or Residual Maximum Likelihood (REML)

 

 

Some  of the Analytics Methods

  • Strategic Analytics

  • Operations Analytics

  • Analytics Methods for External Data

  • Risk Selection Analytics

  • Basel II Operational Risk Analytics

  • Premium Risk Analytics

  • Credit Risk Analytics

  • Market Risk Analytics

  • Interest Rate Risk Analytics

  • Exchange Risk Analytics

  • Asset/Liability Matching Analytics

  • Pricing Analytics

  • Liquid Risk Analytics

  • Capital Management Analytics

  • Model Validation Techniques

 

If you want to have conversation on some of these methods, please feel free to contact me but that will depend on how much time I have but will try to respond:

Contact Me

Some Credit Risks Analytics Methods

 

Semi-Quantitative

  • Stress Testing

  • Scenario Analysis

  • Sensitivity Analysis

  • Backtesting

 

Quantitative

  • Individual Loan

    • Default Risk Models

    • Credit Scoring Models

      • Linear Probability Model (LPM)

      • Logit Model

      • Probit Model

      • Discriminant Model

      • Neural Network (Especially the Probabilistic Neural Network Classifier (PNN) family)

      • Altman Z-score model

    • Term Structure Derivation

    • RAROC Models

    • Option Models

    • CreditMetrics

    • Credit Risk+

    • KMV Model

    • Mortality Rate Derivation

  • Loan Portfolio

    • Loan Concentration Risk Models

    • Portfolio Diversification

    • KMV Portfolio Manager Models

    • Loan Volume-Based Models

    • Loan Loss ratio models

    • Regulatory models

  • Factor Analysis and Factor Loadings

  • Stochastic Risk Measures

  • Mark-to-Market approach

  • Risk-neutral valuation (RNV) approach

  • Extreme Value

  • Maximum loss

Basel II Credit Risk Measurement Approach

  • The Standardized Approach

    • Simplified standardized approach

  • Internal Rating-Based Approach

    • Foundation Approach

    • Advanced Approach

  • Asset securitization

    • Standardized Approach

    • Internal Rating-Based Approach

 

Some Market Risks Measurement Methods

 

Semi-Quantitative

  • Stress Testing

  • Scenario Analysis

  • Sensitivity Analysis

  • Backtesting

 

Quantitative

  • Probability distributions

  • Financial Mathematics/ Derivatives Measures. E.g: delta, gamma, rho, vega, theta

  • Mean-Variance

  • Gap Analysis

  • Duration Analysis

  • Capital Asset Pricing Model (CAPM)

  • Modified Form of CAPM

  • Correlations

  • Covariances

  • Copulas

  • Downside risk measures

  • Cash flow at risk (CFAR)

  • Earnings at risk (EAR)

  • Capital at risk

  • Delta-Gamma

  • Parametric VaR

  • Historical Simulation

  • Monte Carlo Simulation

  • Arbitrage Pricing

  • Principal Components Analysis

  • Factor Analysis and Factor Loadings

  • Coherent Risk Measures

  • Option Pricing

  • LIBOR Market Models

  • Approximation Methods

  • Distortion Risk Measures

  • Exponentially Weighted Moving Average (EWMA) Models

  • Generalized Autoregressive Conditional Heteroscedasticity Models (GARCH)

  • Stochastic Risk Measures

  • Market based forecasting

  • Autoregressive Integrated Moving Average (ARIMA)

  • Implied volatility models

  • Exponentially weighted moving average (EWMA)

  • Autoregressive volatility models

  • Autoregressive conditionally heteroscedastic (ARCH) models

  • Generalized ARCH (GARCH) models

  • Fractional integrated GARCH (FIGARCH)

  • Exponential GARCH (EGARCH) model

  • Multivariate GARCH models

  • Asymmetric GARCH models

  • Option implied volatility

  • Optimization

  • MCMC (Monte Carlo Markov Chain) approach

  • Extreme Value

  • Maximum loss

Basel II Market Risk Measurement Approach

  • The Standardized Approach

  • Internal Models Approach

Basel II Operational Risk Measurement Approaches

 

Quantitative

  • The basic indicator approach (BIA)

  • The standardized approach (SA)

  • Advanced measurement approaches (AMA)

Some Interest Rate Risk  Analytics Methods

 

Semi-Quantitative

  • Stress Testing

    • Scenario Analysis

    • Sensitivity Analysis

  • Backtesting

 

Quantitative

  • Probability distributions

  • Financial Mathematics/ Derivatives Measures. E.g delta, gamma, rho, vega, theta

  • Mean-Variance

  • Gap Analysis

  • Duration Analysis

  • Convexity

  • Earnings-at-Risk

  • Capital Asset Pricing Model (CAPM)

  • Correlations

  • Covariances

  • Copulas

  • LIBOR Models

  • Principal Components Analysis

  • Factor Analysis and Factor Loadings

  • Generalized Autoregressive Conditional Heteroscedasticity Models (GARCH)

  • Stochastic Risk Measures

  • Market based forecasting

  • Autoregressive Integrated Moving Average (ARIMA)

  • Simulations

  • Bootstrapping

  • Extreme Value

  • Maximum loss

 

 

Some Exchange Risks Analytics Methods

 

Quantitative

  • Market based forecasting

  • Autoregressive Integrated Moving Average (ARIMA)

  • Markov switching models

  • Threshold autoregressive (TAR) models

  • Autoregressive volatility (ARV) model

 

 

Some Liquidity Risk  Analytics Methods

 

Semi-Quantitative

  • Stress Testing

    • Scenario Analysis

    • Sensitivity Analysis

  • Backtesting

 

Quantitative

  • Liquidity at risk (LaR)

  • Liquidity adjusted VaR

    • Exogenous spread

    • Discount approach

    • Transaction cost

    • Derivative pricing

Capital Management - (Allocation, Economic, Regulatory and Cost of Capital)

 

Semi-Quantitative

  • Stress Testing

    • Scenario Analysis

    • Sensitivity Analysis

  • Backtesting

 

Quantitative

  • Liquidity at risk (LaR)

  • Liquidity adjusted VaR

    • Exogenous spread

    • Discount approach

    • Transaction cost

    • Derivative pricing

 

 

Some of the Model Validation Techniques

 

Semi-Quantitative

 

Mean

  • F-Test

  • Student t-test

Median

  • Mann-Whitney (Wilcoxon) W test

  • Kruskal-Wallis test

Variance

  • Siegel-Tukey Test

  • Chi-Squared Test

  • Brown-Forsythe Test

  • Bartlett Test

  • Levene Test

Skewness and Kurtosis

  • Chi-Squared Test

Distributions

  • Anderson-Darling Test

  • Shapiro-Wilks

  • Kolmogorov-Smirnov Test

  • Kuiper Test

  • Lilliefors Test

  • Jarque-Berra Test

Cross-correlated errors

  • Granger-Newbold test

  • F-Statistic

  • Diebold-Mariano test

 

Some Asset/Liability Matching Risks Analytics Methods

 

Semi-Quantitative

  • Stress Testing

    • Scenario Analysis

    • Sensitivity Analysis

  • Backtesting

 

Quantitative

  • Probability distributions

  • Financial Mathematics/ Derivatives Measures. E.g delta, gamma, rho, vega, theta

  • Mean-Variance

  • Gap Analysis

  • Maturity Model

  • Term Structure

  • Duration Analysis

  • Correlations

  • Covariances

  • Copulas

  • Delta-Gamma

  • Efficient Frontier

  • Principal Components Analysis

  • Factor Analysis and Factor Loadings

  • Coherent Risk Measures

  • Distortion Risk Measures

  • Stochastic programming

  • Decision rules

  • Dynamic stochastic control

  • Multiobjective linear programming model

  • Goal Programming

  • Exponentially Weighted Moving Average (EWMA) Models

  • Generalized Autoregressive Conditional Heteroscedasticity Models (GARCH)

  • Stochastic Risk Measures

  • Simulation models

  • Portfolio Management Models

  • Arbitrage models

  • Dynamic generalized networks

  • Optimization

  • Extreme Value

  • Maximum loss

 

Some Pricing Risks Analytics Methods

 

Semi-Quantitative

  • Stress Testing

    • Scenario Analysis

    • Sensitivity Analysis

  • Probability Distributions

 

Quantitative

  • Increasing limit factor (ILF)

  • Pure premium

  • Target Loss Ratio Approach

  • Capital-Based Cat Pricing

  • Cluster analysis

  • Conjoint analysis

  • Ordinary Least Squares (OLS)

  • Generalized Least Squares (GLS)

  • Generalized Linear Models (GLM)

  • Polynomial Regression

  • Partial Least Squares Regression

  • Multidimensional scaling (MDS)

  • Classification Trees

  • Multivariate Analysis of Variance or Covariance

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