MODEL VALIDATION for CCPs
Zeliade works with prominent Central Counterparties (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 in clearing regulations (EMIR, PFMI, US CFTC) and a global perspective on the CCP universe. We deliver rigorous, audit-ready validation reports and support our clients through regulatory reviews and risk committee presentations.
State-of-the-art quantitative and financial expertise in service of CCPs
We offer a comprehensive validation of the full range of CCP risk methodologies:
-
Initial Margin models: (SPAN, Filtered Historical Simulation VaR, Monte-Carlo VaR, Stressed VaR), including add-ons (liquidity, concentration, wrong-way risk, sovereign risk, settlement risk, credit risk), backtesting, portfolio margining, procyclicality and sensitivity analysis.
-
Market data: reliability of the sourcing and verification of market data, data cleansing steps, data proxying, price determination methodology, implied volatility surface modelling.
-
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, concentration limits.
-
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 securities: Cash equity, Exchange traded products (ETPs), Warrants, Securities financing transactions (SFTs), bonds, repos, GC repos;
-
Exchange traded derivatives: Futures and options on equities, indices, bonds, interest rates, foreign exchange and commodities;
-
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.