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
  

Questions

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