Market Risk Model Validation - Global Investment Bank

Market Risk Model Validation - Global Investment Bank

Market Risk Model Validation - Global Investment Bank

Assisted with model development support for a large UK bank’s Advanced Operational Risk model used for ICAAP purposes.

The engagement included development of a correlation matrix for the newly proposed risk categories, at a more granular level, and providing the supporting rationale.

The engagement also included implementing the dependency structure and assessing the impact on model outputs.