Global investment bank


Quantitative consulting


The client requested us to perform a model validation of their margin and capital models as well as the XVA implementation.

The outcome of this project was a full model validation and the model documentation provided by our team.

  • Multinational bank with more than 40,000 employees and over $80 Billion AUM
  • One of the largest bank in the world
  • The client requested an extensive model validation and documentation of their margin, capital and XVA models
  • New regulations require modern model validation standards and documentation
  • Large numbers of models and the variety of products in scope
  • Cost efficiency was essential given that the project budgets were limited
Project Delivery
  • Our team analysed the existing model documentation, verified its consistency, level of details and correctness
  • Our team analysed the relevant regulatory guidance on the models in scope and market practices and proposed operationally feasible improvements and alternatives where necessary
  • Our team identified and assessed key model inputs and outputs, verified their completeness and usage of market data for the model
  • Our team performed extensive validation tests, analysed the results and provided recommendations and conclusions. The client received extensive feedback and the documentation which was delivered throughout the validation process was sufficient to reproduce the results and analysis independently
  • Flexibility and Control
  • Quality Solution
  • In time and budget
  • Python
  • C++
  • Microsoft SQL and SQLite
  • Microsoft Power BI
  • Microsoft Excel
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