Situation
A financial services trade organization was leading a large scale industry-wide implementation of a policy framework for calculating margins for complex financial instruments. The previously developed margin allocation model needed to be assessed by a third-party, validated, and calibrated following implementation by the industry’s major stakeholders. The client wanted us to create a project management office and provide subject matter expertise to oversee and deliver the calibrations, testing, benchmarking, and analysis of model parameters. The client also needed a mechanism to ensure yearly maintenance and upgrades of the model.
Satori Solution
We formed direct relationships with key client resources and a group of stakeholders representing the industry, while also partnering with financial data modeling experts who handled the highly complex data modeling requirements of the project. We oversaw the calibration and implementation process, coordinating the collection and management of data from all project participants. We applied lessons learned from previous model developments to address specific irregularities and issues faced by the individual firms involved. The model was made compliant with the industry’s latest regulatory guidelines, and vast amounts of data were consolidated and analyzed to ensure the model’s performance and accuracy. Upon successful implementation of the model at each firm and consequently on the market, we transitioned the model to the client and established a program for yearly calibrations and updates to increase model accuracy and adapt to regulatory changes.
Results
The complex margining model validated and implemented by us was smoothly transitioned to end-users. This enabled the industry to support a highly-refined model to be used as an industry standard by leading financial firms worldwide.