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 .
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