Comprehensive Model Testing and SR 11-7 compliant documentation aligned with Murex sprints for a global US Bank
Client: Global US Bank
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Objective
To help a global U.S. bank conduct comprehensive testing and documentation of a suite of pricing and risk models across Rates, FX, Equity and Credit products. Implementation was in Murex, with documentation according to the SR 11-7 standards.
CRISIL's Solution
Delivery sequencing according to Murex sprints
Exhaustive gap analysis
Test Plan Preparation, Model Theory Assessment
Test Execution, Review with Quants and FO
Exhaustive Model Documents according to SR 11-7 Guidelines
Client Impact
Completed testing and documentation support and delivered final documented results on time, on budget, and in full compliance with SR 11-7 guidelines.
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