-
55+
models covered across multiple asset classes
-
12+
FTEs specialising in multiple disciplines
-
60%
lower costs for the firm, compared to other options
CLIENT CHALLENGES
- The second line of defence in the client’s organisation had raised significant concerns on 55+ key models across specialised asset classes such as securitised products, real estate, ESG and fixed income.
- The model owners did not have the bandwidth to address these concerns.
- Acuity was tasked with resolving these issues and supporting the model owners in creating and implementing a robust testing plan for the said models on an ongoing basis and delivering comprehensive model documentation.
OUR APPROACH
- Phase I
- The Acuity team held a series of detailed discussions with model developers and validators to gain insights into model use, workflows, key concerns, limitations and opportunities.
- Acuity designed an implementation timeline with milestones for the testing and resolution of key issues, documentation and ongoing monitoring.
- Phase II
- Based on domain, use case and scope of each model, Acuity designed and implemented relevant tests in addition to those suggested by the model validators.
- Acuity documented testing results and suggested remedial actions for the shortcomings identified.
- Phase III
- Model documentation and testing results were submitted to the second line of defence to get feedback and determine the next steps.
- A framework was implemented, which was monitored continually.
IMPACT DELIVERED
- Acuity studied the model inventory thoroughly and produced high-quality output, driven by subject matter expertise and a rigorous quality check process.
- Acuity had an eye for detail, with extensive focus on effective and exhaustive documentation of all relevant elements in the validation exercise.
- The team provided highly qualified and experienced resources at a fraction of the onshore cost.
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