-
40%
reduction in annual costs
-
1.5X
additional bandwidth for MRM seniors, resulting in rigorous review and better communication
-
100%
of the model submissions met the regulatory deadlines
CLIENT CHALLENGES
- To supports its CCAR submission objectives, the MRM team required specialised support in the areas of market risk, credit risk and operational risk model validation
- The client was looking for a partner who could provide highly specialised support at scale, in a flexible fashion, and develop a solution on the go (with only high-level scope and volume defined)
OUR APPROACH
- Acuity Knowledge Partners deployed a team of nine quants specialists and three seniors to act as a natural extension of the client’s MRM team
- A specialised sub-group initially focused on high-criticality models such as balance sheet forecasting and wholesale credit loss. We conducted rigorous testing and held detailed conversations with the model developers to drill down on model issues and suggest remedial actions
- The team conducted full-scale validation of all classes of models in the inventory
- The results were delivered in the form of detailed validation reports
- Model types:
- Credit risk
- Market risk
- Operational risk
IMPACT DELIVERED
- Provided rigor at scale with a good mix of quants analysts, econometricians and senior project managers with extensive model validation or development experience
- Helped with validation documentation and handled communications with model developers and regulators
- Provided highly qualified and experienced resources at a lower cost
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