Comprehensive Model Testing and SR 11-7 compliant documentation aligned with Murex sprints for a global US Bank
Client: Global US Bank
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