-
2X
model coverage for MRM
-
60%
lower cost vs hiring directly
-
35+
models tested, meeting all regulatory guidelines
CLIENT CHALLENGES
- The CRO’s team, tasked with validation of sophisticated models including quantitative models for pricing, investment risk and portfolio construction, was struggling to hire, train and retain quants specialists with relevant experience
- The CRO wanted a vendor who could provide the depth and breadth of knowledge and skills required to conduct model validation with a high level of stringency
OUR APPROACH
- Acuity Knowledge Partners (Acuity) deployed a team of two quants specialists and a capital markets expert with a deep knowledge of the investment process and asset valuation
- The team leveraged in-house specialists in niche areas such as derivatives and securitised products to better evaluate existing models, valuation methodologies and underlying assumptions
- Acuity created live dashboards to track the progress of various validation-related tasks (distributed between the Acuity team and the client team) for the entire model inventory. This gave the CRO and other senior stakeholders a very easy and informative overview of the progress, deadlines, utilisation and support required
- Functions supported:
- Validation: Data integrity and assumption testing; Conceptual assessment; Documentation
- Monitoring: Ongoing monitoring; Stress testing and sensitivity analysis; Recalibration
- Governance: Model inventory tiering; Validation policy and monitoring framework
IMPACT DELIVERED
- Studied the model inventory in depth, classified the models in terms of complexity, materiality and business/regulatory considerations. The results were used for appropriate staffing and sequencing of MRM tasks
- Helped with validation documentation and handled communications with model developers and regulators
- Provided highly qualified and experienced resources at a fraction of the cost
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