Objective

To help a Tier 1 U.S. commercial bank prepare for a time-sensitive supervisory examination and meet associated regulatory requirements by validating qualitative liquidity risk models.

CRISIL's Solution

• Assessed each of model on appropriateness of the approach, conceptual soundness, model performance, and testing of projections under baseline and stressed scenarios
• Assessed model assumptions and regulatory alignment based on CRISIL's expertise and experience validating risk models for performance and compliance
• Provided critical implementation support to client facing a scarcity of available resources

Client Impact

• Working on tight deadline to prepare for the supervisory examination, completed validation process, including formal review process with developers, implementation and verification, and delivered documentation that allowed the bank to meet the supervisory timetable and comply with all regulatory requirements
• The CRISIL validation team now has supported the client on both quantitative and qualitative market risk and credit risk models for more than five years
  

Questions

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