Launched a multi asset MRM team for a US Asset Manager

  • 7 models documented and tested every 2 months

  • 60% cost savings achieved

  • Fully offshore operation


Client Challenges
  • The second line of defense (LOD) at the bank had raised concerns about insufficient documentation and testing of 59 models
  • The model owners did not have enough bandwidth to allocate to remediate these concerns
  • The CRO’s team came up with a plan to create a team of model owners and validators dedicated solely to complete entire model documentation and testing on behalf of the model owners
Our Solution
  • Deployed a team of 10 model developers and validators in a span of 3 months from over 40 candidates
  • Phase 1:
    • Conducted a series of interviews to gain an in-depth understanding of each model, its scope and use, inputs and outputs, the workflow, the process, downstream and upstream impacts, model monitoring, etc
    • Documented each model with periodic reviews and feedback from the model owners
  • Phase 2:
    • Created testing plans and processes for each model through discussions with the model owners taking into account the scope and use of the models
    • Performed tests on models based on the plans and documented the results
  • Phase 3:
    • Submitted the documentation and testing to the second LOD
    • Received ongoing support for the models during the validation process
Impact Delivered
  • Achieved 60% cost savings
  • Successfully met model risk management (MRM) objectives, while consuming a limited bandwidth of model owners
  • Maintained a seamless model validation process
  • Successfully met intermediate periodic milestones for completing the documentation and testing of the planned model list
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What we have done

Building a MRM team for the investment management arm of a US Investment Bank
What we are proud of

>50%

savings in staffing costs

25%

increase in outreach