CVA-DVA Model Validation
For a Bank in UAE
CLIENT & PROBLEM STATEMENT
- A large middle-East Asian bank.
- Market risk head was the Consumer of the services.
APPROACH
- We evaluated SA-CCR, Accounting CVA and SA-CVA models.
- The data in the existing models were tested and analysed for various scenarios.
SOLUTION & OUTPUT
- Model Validation services were provided.
- Evaluated SA-CCR, Accounting CVA and SA-CVA models.
- The models are being used for accounting and regulatory capital.
