One of the concerns senior have understanding at a high level the accuracy of the new credit risk measure during an overhaul of the Risk Frame work or a re-engineering. Model/System changes can hugely impact counterparty risk profiles using the same trade and market data.
Uniting testing of the risk system requires different stages of quality assessment from the market data to the exposure simulation profile.
- Risk Factor scenarios, how do these fit with market expectation?
- Market to Markets, how does they compare with the equivalent pricer in the trading system?
- New Exposure profile profile after upgrade versus current methodology?
If you do not high quality intermediate results which provide sufficient validation metrics for the above then your upgrade or implementation will fail.