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MODEL VALIDATION for CCPs

Zeliade works with prominent Central Counterparty Clearing House (CCPs) as an independent validator for their risk policies, with more than 100 independent validation projects spanning global and local CCPs. Zeliade combines state-of-the-art quantitative and financial knowledge along with a thorough expertise on the clearing regulations (EMIR, PFMIs, US CFTC) and a global perspective on the CCPs universe.

State-of-the-art quantitative and financial expertise in service of CCPs

We offer a comprehensive analysis of all the CCPs’ risk methodologies:

  • Initial Margin models: (SPAN, Filtered Historical VaR, Monte-Carlo VaR, Stressed VaR), including add-ons (liquidity, concentration, wrong-way risk, sovereign risk), backtesting, procyclicality and sensitivity analysis.

  • Market data: reliability of the sourcing and verification of market data data cleansing steps, data proxying, price determination methodology.

  • Pricing methodology: pricing models theoretical soundness, appropriateness of the risk factors used in pricing, numerical performance, precision and stability, yield curve bootstrapping methodologies.

  • Stress Testing: soundness of the stress scenarios, plausibility measures and adjustments, sizing/allocation/monitoring of the Default Fund.

  • Collateral risk methodology: eligibility criteria, haircuts calibration, valuation and monitoring.

  • Liquidity risk methodology: liquidity requirements and resources, exposure to liquidity providers/ custodian/investment counterparties, management and monitoring of the CCP's liquidity needs across a range of market scenarios, liquidity stress testing and liquidity sizing methodology.

  • Internal credit risk: scoring for the CCP's counterparties (clearing members, investment, liquidity providers etc).

  • Investment risk policy: credit risk limits, concentration limits etc.

Our experience encompasses all cleared markets:

  • Cash and derivatives: Cash equity, Securities financing transactions (SFTs), futures and options on stocks, index, foreign exchange and commodities;

  • Fixed Income: Bonds, repos;

  • Credit: Credit Default Swaps;

  • OTC interest rate derivatives: OIS, Single currency IRS, Basis swaps, FRAs, Non-deliverable IRS, Cross Currency Swaps, Swaptions;

  • OTC FX derivatives: Non Deliverable/Deliverable FX Forward, FX Options.

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