$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.