Market Risk Model Validation
For an Indian Bank
CLIENT & PROBLEM STATEMENT
- A fast-growing Private Sector bank in India.
- Head of Market Risk was the Consumer of the project.
APPROACH
- Validation of market risk models, derivative pricing and risk-based pricing models.
- Validation of valuation methodology for existing derivative instruments and the existing Risk Based Pricing methods.
SOLUTION & OUTPUT
- Market Risk Analytics services for Model Validation were provided.
- The bank is using the models for calculating market risk and pricing of derivatives as per the suggested changes and revised models .