Objective

To evaluate, test and document more than 50 interest rate and FX pricing models validation in line with internally approved SR 11-07-compliant template for regulatory submission.

CRISIL's Solution

• CRISIL GR&A set up a global, multi-geography, 14-member team in a short time and used a phased approach to understand the deliverables and provide complete, validation-ready and SR 11-07-compliant model documentation
• In the first phase, a three-member team was assembled at the client location in London. The team spent six weeks working closely with the bank’s Quants team to understand its analytics library, approach to documentation and expectations on intensity of testing
• The team members then dispersed to different geographies (India, London, and New York) and set up larger teams in respective regions, creating a scalable operating model
• The phased approach ensured that all learnings were transferred to other members within the team, and CRISIL was able to quickly scale up and transfer quantitative understanding of various interest rates models
• CRISIL team also added additional value by developing re-usable scripts and tools to assist with back-testing, stability testing and benchmarking of models
• Models Employed: Linear, Xccy, VoI and Curve, Callable, Quanto
• Platforms/Tools Employed: P&L Analysis Tools, Model Monitoring Framework, Python-based Unt Tests, Regression Testing Suite and Stability Testing
  

Client Impact

CRISIL team delivered more than 56 models in six months - 10-15% more than promised. The client was easily able to meet its regulatory deadline.

Questions

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