Case Study: Leading U.S. Bank achieves stronger model risk management and CCAR/DFAST compliance with WNS

Co-creation Leads to Augmented Model Risk Management Function

The Leading U.S. Bank needed to strengthen its model risk management function to meet strict CCAR and DFAST requirements, but managing more than 200 models with a limited talent pool made regular validation and stress testing difficult. It partnered with WNS to augment its model validation capabilities and support compliance with the Federal Reserve’s annual stress-test expectations.

WNS co-created a validation framework using statistical expertise and best practices, including back testing, co-integration testing, sensitivity analysis, scenario analysis, and detailed model scoring. The work produced validation reports, stress-tested models against macroeconomic conditions, and helped build LGD reference models, enabling the bank to replace underperforming models, improve governance and decision-making, and comply with CCAR and DFAST submissions smoothly since 2015.