Building a MRM team for the investment management arm of a US Investment Bank

  • All outstanding models documented

  • 2x increase in model risk management (MRM) bandwidth

  • 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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