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
     

Client Impact

 

Completed testing and documentation support and delivered final documented results on time, on budget, and in full compliance with SR 11-7 guidelines.

Questions

 

Looking for high-end research and risk services? Reach out to us at:

 

United States
1-855-595-2100/
+1 646 292 3520

 

United Kingdom
+44 (0) 870 333 6336

India
+91 22 33 42 3000 /
+91 22 61 72 3000