Question: I have a currency pair usdinr put option with strike price at 73.5 INR, risk free rate 0, underlying price of 75.4025, days to expiry is 15 and iv is 5.9%. Delta of this option is -0.019 and gamma is 0.051. So I am interpreting gamma as change in delta with 1% change in underlying. So by this logic if I increase the underlying by 1% and option being put the delta should decrease by 0.051. So that means new delta would be 0.031. This would be wrong because delta of put option can't be positive. Now I have increased the underlying by 1% in my excel working. And delta is decreased by 0.017 whereas my gamma was 0.051. So is this because of the low volatility or is there any mistake in my interpretation of gamma?

Answer: 
This recent paper <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3891120> (highly recommended in its entirety) has its entire section 5 devoted to XVA model validation.

You may also find these ORE slides insightful <https://www.opensourcerisk.org/wp-content/uploads/2018/12/ore_user_meeting_2018_patrick_buechel.pdf>
In general, the model validation consists of several steps:

* Checking the model design, i.e. model theory, model assumptions, model limitations, etc.;
* Checking the model inputs, i.e. market data sources, market data quality, model parameters quality, calibration process, etc.;
* Checking the model implementation, i.e. checking if the model is implemented in the system in line with the theory;
* Checking the model outputs, i.e. if the model produces correct numbers under current market conditions;
* Checking the model performance under stress scenarios, i.e. checking if the model produces reliable outcome under extreme market conditions;
* Checking all other related stuff, like model governance, model documentation, input controls, output controls, etc.