- One of the largest financial institution in the world
- Sophisticated setup and complex products range
- Cross asset derivatives in scope
- Client had a very tight delivery schedule to deliver the results of the model validation exercise
- Various trading desks using different risk calculation frameworks and methodologies which had to be unified and integrated into a common SIMM framework
- Various regional regulators involved during the approval process due to worldwide client local presence
- Our team analyzed the firmwide setup of risk sensitivities and assessed their implementation
- Our team made sure the model assumptions and uncertainties are solid and validated
- Our team implemented independent cross checks and models to assess the usage of provide model inputs by different trading desks
- Our team performed deep analysis of all model assumptions, limitations and outputs.
- Flexible, sustainable and quick Delivery
- Fixed budget
- Quality Solutions