Modelling-Proxy Review (MPR)

Subscribing to a Risk system is futile unless positions are modeled correctly and most of the portfolio is included for reporting purpose.

MeritUnion using its expertise in Risk domain and hands-on experience with Risk systems ensures close to 100% inclusion of Client portfolios within the Risk system. In addition to portfolio coverage, it ensures modelling accuracy thereby avoiding ‘garbage in – garbage out’ situation. Finally, all the exceptions are identified and fixed while the Portfolio is re-modeled.

Inclusions:

    • Multi-asset portfolios
    • Exotic and structured instruments
    • Proxy rules and logic deployment
    • Calibration checks and fixes
    • Front office vs. Risk system PV reconciliation
    • Time series and data checks
    • Re-modelling portfolios