ISDA SIMM Model Documentation support for submission to NFA for a Japanese Bank
Client : Japanese Bank
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Objective
To help a Japanese bank complete ISDA SIMM Model Documentation under tight deadline for submission to the NFA.
CRISIL's Solution
Quickly formed a four-member team that performed a comprehensive analysis of guidelines provided by different regulatory/governing bodies (ISDA, NFA, SR-11-07)
Developed two comprehensive reports (150+ pages each), detailing model development and model validation
Identified and addressed additional tests and remediation areas, including stress testing, ongoing monitoring, governance streamlining, etc.
Generated additional supporting documents, such as Clean P&L Generation Methodology, as part of the package
Performed various stress tests that enhanced confidence in the model and its implementation
Challenges
Intermediate steps calculated using different systems and multiple documents that were not in line with SR-11-07 and NFA/regulatory guidelines
Short execution time due to a tight regulatory deadline
Client Impact
The team delivered high-quality, regulator-ready documents within the planned timeline and budget
Generated more than 40% savings for the client by executing the project from CRISIL offshore office
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