Validation/Revalidation of Market Risk Models for Large European Investment Bank

Client

A large Europe-based investment bank

To conduct a comprehensive program to validate/re-validate a large European investment bank’s market risk models, including VaR/RNIV/stress-testing risk models in market risk domains under FINMA, PRA, FRB and CCAR framework for almost all asset classes.

• In just two months, established a team of 25 professionals, including a healthy mix of senior and junior quant analysts, at our offshore delivery centers in India (Mumbai and Pune) and Argentina, with a senior manager located in London
  
• The team was quickly trained by our subject matter experts on client’s proprietary risk management systems
  
• Performed model validation/re-validation of VaR/RNIV/stress testing risk models in market risk domains under FINMA, PRA, FRB and CCAR framework for almost all asset classes
  
• Validation process included comprehensive tests to validate identified assumptions and limitations, back-testing of the model on material/hypothetical portfolio and detailed comments on the appropriateness of the model and its issues
  

• Client saved ~40% by offshoring the entire project
  
• Crisil GR&RS handled the majority of the regulatory submission work in the stress testing model validation area
  
• All validated models submitted to the investment bank’s Steering Committee and to regulators on time and on budget
  
• Crisil GR&RS identified gaps in existing risk models and suggested changes to models and monitoring processes to overall improve model standards across the bank