Release diff for model validation
A release review from three weeks to under one
Reported by the client · Pricing library release review · evidence pack in 2 days · every moved price and sensitivity explained · ECB guide to internal models · European bank
How Xcelerit Verified gave a European bank's model validation team an evidence pack in 2 days for each pricing library release, with every moved price and sensitivity explained: the review from three weeks to under one.
Each new release of a European bank's pricing library went to model validation before it could reach production. The validators had to rerun the portfolios on both versions, find every price and sensitivity that moved, and decide whether each change was intended and material, as the ECB guide to internal models expects. A release review took three weeks, most of it spent assembling evidence.
Xcelerit Verified now runs both releases on the bank's portfolios and returns an evidence pack within 2 days: every moved price and sensitivity, traced to the code change that moved it, with the AAD derivatives checked against bumping. The validators spend their time on judgement, not reruns, and a release review takes under a week. The bank runs Xcelerit Verified on every release.
- Challenge
- Three weeks per pricing library release review, mostly assembling evidence
- What we did
- Xcelerit Verified: release diff on the bank's portfolios, every change explained
- How it was checked
- Elapsed time from release candidate to validation sign-off, before and after, on the bank's own process
Client-reported outcome. Exact figures are in the case study PDF, on request.