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Example Project: Model Validation

Client Brief

The client, an investment bank trading desk, required a review of a (market-leading) convertibles model, to confirm that the model was suitable for mark-to-market valuation and Greeks calculation.

QuantVal Solution

QuantVal performed an in-depth assessment of the model, inputs, outputs and suitability. Results were delivered in a 150+ page report. The model was found to be satisfactory, with only minor issues, deemed immaterial to the client’s ongoing business.