Validation & Compliance - Proven Results

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Our validation services provide the confidence that your models meet stringent regulatory standards while delivering accurate, reliable results under all market conditions. Our governance solutions create systematic processes that ensure sustainable model performance and regulatory confidence.

The success stories below are based on the founder's extensive experience at top-tier financial institutions.

Objective/Problem: Existing FinTech pricing models showed significant mismatches versus Bloomberg benchmarks across multiple option types, creating accuracy concerns for pricing and Greeks calculations.

Service Applied: Model Validation - Comprehensive benchmarking and model accuracy optimization

Solution Approach: Conducted systematic comparison of pricing models against Bloomberg outputs across various scenarios. Ran extensive scenarios testing prices and Greeks, identified mismatches in models selection and implementation issues, then systematically fixed methodological and technical problems to achieve excellent alignment.

Client Impact: Achieved exceptional accuracy versus Bloomberg benchmarks with excellent tolerance levels within several bps for most cases. Delivered stable, accurate pricing across deep ITM/OTM options, extreme volatility scenarios (400%), short and long-dated options, ensuring confidence in all pricing and risk calculations.

Objective/Problem: Global investment banks required independent validation of valuation, finance, and initial margin models under new FRTB regulations.

Service Applied: Model Validation - Comprehensive FRTB/Basel compliance validation

Solution Approach: Conducted thorough validation of 30+ critical models including methodology review, back-testing analysis, stress testing verification, benchmarking against industry standards. Delivered regulatory-grade validation reports ensuring continued ability to use internal models for capital calculations.

Client Impact: Achieved 100% model approval rate under stringent FRTB regulatory framework, ensuring continued access to internal model approaches for capital calculations. Strengthened model governance framework, enhanced regulatory preparedness, and provided confidence in model accuracy and compliance across all validated frameworks.

Objective/Problem: FinTech needed complete model documentation and validation framework for pricing models across multiple asset classes.

Service Applied: Model Validation - End-to-end model validation and compliance documentation

Solution Approach: Authored and maintained comprehensive documentation for each model ensuring compliance with industry standards of model risk management. Developed extensive unit tests suite including replication, benchmark, sensitivity, stress testing, and convergence testing across various market scenarios.

Client Impact: Delivered complete model validation framework meeting regulatory requirements and industry best practices. Ensured model accuracy and reliability through comprehensive testing suite, providing confidence in pricing accuracy and regulatory compliance for all implemented models.

Objective/Problem: Global bank needed enterprise model inventory and risk rating framework for strategic model risk management for regulatory approval.

Service Applied: Regulatory Compliance - Enterprise model risk governance

Solution Approach: Developed enterprise-wide (incl. thousands of algo. trading, AFC, Research models) model inventory and risk rating methodology shaping the firm's approach to model risk at strategic level. Facilitated executive decisions by presenting clear model insights and risk impact analyses at senior forums.

Client Impact: Established comprehensive enterprise model risk framework enabling strategic-level model risk management. Shaped firm's approach to model risk governance while facilitating informed executive decisions through clear quantitative insights and impact analyses.