Validation/Revalidation of various Market Risk Models for a large Europe based Investment Bank
Client : A large Europe-based investment bank
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Objective
To conduct a comprehensive program to validate/re-validate a large European investment bank’s market risk models, including VaR/RNIV/stress-testing risk models in market risk domains under FINMA, PRA, FRB and CCAR framework for almost all asset classes.
CRISIL's Solution
In just two months, established a team of 25 professionals, including a healthy mix of senior and junior quant analysts, at our offshore delivery centers in India (Mumbai and Pune) and Argentina, with a senior manager located in London
The team was quickly trained by our subject matter experts on client’s proprietary risk management systems
Performed model validation/re-validation of VaR/RNIV/stress testing risk models in market risk domains under FINMA, PRA, FRB and CCAR framework for almost all asset classes
Validation process included comprehensive tests to validate identified assumptions and limitations, back-testing of the model on material/hypothetical portfolio and detailed comments on the appropriateness of the model and its issues
Client Impact
Client saved ~40% by offshoring the entire project
CRISIL GR&RS handled the majority of the regulatory submission work in the stress testing model validation area
All validated models submitted to the investment bank’s Steering Committee and to regulators on time and on budget
CRISIL GR&RS identified gaps in existing risk models and suggested changes to models and monitoring processes to overall improve model standards across the bank
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