$160 Billion Banking System

Economic Capital Models Validation and Basel II Assessment - $160 Billion Banking System

Economic Capital Models Validation and Basel II Assessment - $160 Billion Banking System

Performed validation of the economic capital model, including credit, interest rate, operational and market risks.

Developed parallel models to validate the client’s model analytics and calculations.

Derived recommendations to ensure consistency, improve model governance, and to improve assumptions and modeling alternatives for credit and interest rate risk.

Also conducted an assessment of the system’s readiness for Basel II regulatory compliance and evaluated the capital impact under various Basel II scenarios. This engagement included a gap analysis of current practices against Basel II requirements, identified and prioritized actions required to reach compliance, and provided practical recommendations for circumvent issues which had arisen.

Colin Farquhar_380x380
Colin Farquhar
Director
+44.78.3391.4420
Linked
Bernadine Reese
Bernadine Reese
Managing Director
+44.20.7024.7589
Linked