Case Study 39: Market Risk Model Validation

For an Indian Bank

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  • A fast-growing Private Sector bank in India.
  • Head of Market Risk was the Consumer of the project.
  • 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 .
  • 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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