Case Study 41: CVA-DVA Model Validation

For a Bank in UAE

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  • A large middle-East Asian bank.
  • Market risk head was the Consumer of the services.
  • We evaluated SA-CCR, Accounting CVA and SA-CVA models.
  • The data in the existing models were tested and analysed for various scenarios.
  • Model Validation services were provided.
  • Evaluated SA-CCR, Accounting CVA and SA-CVA models.
  • The models are being used for accounting and regulatory capital.
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