How Crisil can help
Crisil is actively engaged in IBOR transition programs globally to guide clients in designing, identifying and addressing potential challenges to navigate smoothly towards alternative risk-free rates
![transformation-and-technology]( "transformation-and-technology")
Transformation and Technology
- Documentation of current state of operational flows, booking model and design principles for the target state
- Data transformation across pricing, risk and collateral systems
- End-to-end implementation of strategic change for smooth transitioning away from LIBOR
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![finance-and-treasury]( "finance-and-treasury")
Finance and Treasury
- Impact analysis for finance and treasury functions
- Hedge accounting, asset/debt modification and impairment testing analysis
- Validation of P&L reporting and the impact on valuation models for IPV
- Reporting and business as usual (BAU) system changes
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![analytical-and-quantitative-support]( "analytical-and-quantitative-support")
Analytical and Quantitative Support
- Curve construction and validation
- New product development and valuation impact assessment
- Enhancing existing pricing models to support new RFR
- Model validation for new RFR products
- Risk sensitivities and risk model validation
- Time series modelling and validation
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Current Sample: End To End Support for a IBOR Program for a US Bank
A team of PM, BAs , Quantitative Modellers and Developers from Crisil are supporting a large investment bank in their IBOR program
- As part of PMO, working in planning, coordinating & tracking milestones for IBOR transition programme.
- Assess the impact and help in design the modifications to the technology infrastructure
- Supporting the banks FO tech/quant teams in updating/validating FO analytics for curve marking, rates pricing models for their assumptions & limitations with RFR rates, Risk models VaR & ES, collateral modelling within CCR, XVA calculation, Impact analysis on RWA for capital , using Python, C#.
- Developing & validating new RFR spread curves for SOFR & ESTR by performing tests for continuity and stability of forward rates, locality of the interpolation & how local are the hedges. Validating rates pricing models for their assumptions & limitations with RFR rates.