Model Validation with a bank

Project status
Project start date
Not specified
Project posted
17 Apr 2014 14:33
Project duration (approx.)
92 Days
Budget (approx.)
£45000 / day
Financial Services, Consulting
Area of expertise
Corporate Finance, Strategy
Consultant location

Objectives and Key Deliverables

 Our client a management consultancy serving investment banks in London requires a consultant:

Profile :

·         Ex-quant with modelling experience in structured and vanilla
rates and credit derivatives (in banking)

·         some trading experience would be a plus

·         At least 8y experience

·         Experience in producing white papers


Role: Model Validation Project with a BankThe project involves validating the internal credit model used to value loans.The analysis will be conducted on selected sample of the loans, including the comparison of prices obtained i) based upon the internal model and ii) independently calculated by the consultant using his own pricing model (ad-hoc development).The conclusions of the study will be presented in a Project Report. Besides summarising the numerical results, the Report will, where applicable, highlight the modelling shortcomings and inconsistencies with market practice and propose recommended solutions.In addition, as a part of the Project, the consultant will conduct a high level review of the internal underlying C++ Code and produce a brief Technical Document (Approx. 10 pages) which will document the major classes of the code and clarify how the main modules of the code interact. Duration: 6-7 Weeks starting end of April

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