Objective

Validate vendor models used by a large US financial institution across all its business units of Asset Management, Wealth Management, and Corporate & Institutional Services.

CRISIL's Solution

• Validate models from some of the best vendors in the industry, including MSCI Barra, Credit Suisse, Barclay's, Citi, and others
• Model validation performed in line with Bank’s internal validation framework, SR 11-7 Guidelines and industry best practices
• Validation framework included qualitative as well qualitative components, and covered Backtesting, Benchmarking, Stability Testing, Assumptions & Limitation Testing, Regulatory Compliance, Governance & Controls, Ongoing Monitoring etc.
• Engagement entailed regular interactions with various stakeholders, model owners, Risk Control Group and model vendors

Client Impact

• Validation process identified more than 75 Corrective Action Items on a total of 18 models validated to date
• Solutions presented to client for every Corrective Action Item
• Client was able to validate all the business unit models in the inventory and meet the regulatory requirements
  

Questions

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