MODEL VALIDATION for CCPs
Zeliade works with prominent Central Counterparty Clearing House (CCPs) as an independent validator for their risk policies, with more than 60 independent validation projects spanning global and local CCPs. Zeliade combines state-of-art quantitative and financial knowledge along with a thorough expertise on the clearing regulations (EMIR, PFMIs, US CFTC) and a global overview on the CCPs universe.
State-of-art quantitative and financial expertise in service of CCPs
We offer a comprehensive analysis of all the CCPs’ risk methodologies:
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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;
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Market data, reliability of the sourcing, data proxying, pricing models, appropriateness of the risk factors used in pricing;
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Stress Testing, soundness of the stress scenarios, sizing/allocation/monitoring of the Default Fund;
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Collateral risk methodology, haircuts, credit quality, valuation and monitoring;
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Liquidity risk methodology, liquidity requirements and resources, exposure to liquidity providers/ custodian/investment counterparties
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Internal credit risk scoring for the CCP’s counterparties (clearing members, investment, liquidity providers etc);
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Investment risk policy, credit risk limits, concentration limits etc.
Our experience encompasses all cleared markets:
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Cash and derivatives: Cash equity, stocks, index, foreign exchange and commodities futures and options;
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Fixed Income: Bonds, repos;
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Credit: Credit Default Swaps;
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OTC interest rate derivatives: Single currency IRS, Basis swaps, Non-deliverable IRS, Cross Currency Swaps;
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OTC FX derivatives: Non Deliverable/Deliverable FX Forward, FX Options.