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Quantitative Model Risk Project

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Background


Major Global Investment Bank required urgent assistance in their model review project (Comprehensive Capital Analysis Review) for the New York operation within a set deadline given by the regulator.

Approach


Our main objective was to understand the definitive obligation our client needed to submit to the regulator and the technical aspects of the relating client models.  

What We Did


We deployed a team of consultants who have vast experience on traded risks such as Market Risk Basel 2.5 & Basel 3, CVA and stress testing models.  This specific experience and our ability for immediate deployment ensured an agile and instant progress in the project.  

Results


Our consultants had the necessary experience with quantitative applications such as EXCEL, SAS and R combined with the regulatory framework and business knowledge needed to provide high quality support and complete the project within the timeframe given. Our client therefore met the regulator deadline and avoided any negative press and penalties.

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