Risk Model Review and Validation

Client Needs & Objectives

We took actions for several years as part of our partnership to contribute to the validation of risk models. It includes credit risks, stress tests and recently counterpart and market risks (EPE, CVA, Stress VaR…).

  • Context: 1- to 3-month recurrent missions for 3.5 years, detached within the model validation team of the treasury risk direction of the group
  • Client: International banking institutions (top 10 worldwide)

Our approach

This partnership reflects a requirement for long-term quality service. It allows to understand the variety of models that we have reviewed (benchmarking).

  • Review of pricing and counterparty risk models (EPE …)
  • Review of Basel II regulatory models (PD, LGD, CCF)
  • Review of regulatory parameters Back testing
  • Review of stress tests (including the ones applied in EBA and IHC / CCaR stress)
  • Validation of models for all type of portfolio and subsidiary (Italia, US, Turkey, retail France …)

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JOINING FORCES TO SHAPE A BOLDER FUTURE FOR OUR CLIENTS

After 13 years of a wonderful journey, alongside talented colleagues and valued clients, it is time for Chappuis Halder & Co. to begin a new adventure as Capgemini Invent.

 

As thinkers and doers, we have supported clients around the world and have consistently invested in expertise to provide thought leadership and deliver impactful projects related to Finance, Risk and Compliance ESG, Business development and Organization transformation, Data, Tech, and Cybersecurity.

 

Joining forces with Capgemini Invent presents an extraordinary opportunity to accelerate and go above and beyond as a global team to “Seize the full potential of financial services”.

Our journey continues as