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Model Assessment and Validation


Numéraire Financial works with leading CCPs as an independent validator of their risk management framework. We offer a comprehensive review of initial margin models for all major asset classes, including futures and options on futures, commodity swaps, Interest Rates, Credit Default Swaps, etc. Our analysis encompasses various regulatory jurisdictions, such as US, UK, and Europe. We conduct an all-inclusive analysis of stress testing frameworks for liquidity, concentration, and collateral constraints, producing detailed coverage of various risk components, such as market risks and default of the largest clearing members. We have experience in assessing financial safeguard packages, including guarantee fund sizing and allocation in the US and UK. Our approach pays special attention to such practical aspects as ease of implementation, utilization, maintenance, scalability and robustness to gap risks in stressed conditions.