The client has 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 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
Our team analyzed the existing model documentation, verified its consistency, level of details and correctness
Our team analyzed 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, analyzed their results and provided recommendations and conclusions. The client received extensive feedback and the documentation which was delivered throughout the validation process and was sufficient to reproduce the results and analysis independently.
Flexibility and Control
In time and budget
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