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All outstanding models documented
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2x increase in model risk management (MRM) bandwidth
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60% cost savings achieved
Client Challenges
- The CRO’s team did not have enough bandwidth to complete the validation of 35 models within a short deadline of 12 months
- Models included quantitative pricing, valuation, investment risk and portfolio construction
- Difficulty in hiring quants specialists with relevant buy side experience
Our Solution
- Deployed a team of 8 model validation experts in a span of 3 months from over 50 candidates
- Phase 1: Initial set-up (3 months):
- Understood model inventory
- Classified models based on materiality, business use and regulatory requirements
- Phase 2: Ramp-up (9 months):
- Staffed a team of validators based on the skillset assessment in phase 1
- Designed and implemented a validation framework specific to the family of models
- Phase 3 (ongoing):
- Model governance
- Ongoing monitoring
- Revalidation
Impact Delivered
- 2x increase in MRM bandwidth
- Achieved 60% cost savings
- All validations deemed satisfactory in rigor and adequacy as per regulatory guidelines
- Successfully met internal deadline to complete the validation of the entire model inventory
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