Market Risk Model Validation
For an Indian Bank
- 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 .