For a Fortune 100 Financial Services firm, FiRisk Consulting provided project management services in support of new statistical model development of a Value-at-Risk (VaR) model used to calculate margin collateral on derivative trades.
Our client was developing a Parametric Value-at-Risk (VaR) model to support daily re-calculations of initial margin requirements for derivatives in its counterparty credit risk group. In addition to regulatory approval, the model was required to go through internal Independent Model Validation to ensure appropriate statistical methods were employed, inputs and outputs were consistent and of high quality, and that documentation was complete and accurate.
Provide project management assistance to ensure model development efforts met corporate guidelines while ensuring that all development steps are documented in support of model validation efforts. Identify gaps in process and documentation that could impact model approval, and mitigate issues to ensure approval of model.
FiRisk Consulting provided Program and Project Management services, along with specific regulatory and statistical modeling expertise, including: