An Experienced, Cost-Effective, Model Validation Partner
RiskSpan’s model validation practice is built on a foundation of subject matter and analytical expertise gained through years of both model development and model validation work with commercial banks and capital markets clients. For over a decade we have been offering model validation services that consistently exceed client and regulatory expectations. We deliver high-quality, transparent model validation analyses and reports that benefit model owners, satisfy second- and third-line-of defense risk managers, and stand up to regulatory scrutiny.
Our validation services are delivered under the direction of senior-level professionals who understand the regulatory environment and what bank examiners look for in a model validation report. Our team further incorporates the skills of our analytic centers in both Charleston, S.C., and Chennai, India, enabling our high-quality services to be offered at highly competitive rates.
Proprietary Analytical Tools and Data Expertise for Full- and Limited-Scope Validations
RiskSpan’s professionals are effective practitioners of all facets of full-scope model validations under OCC, Federal Reserve, SEC, and FHFA guidance:
- conceptual soundness, including input and assumption reasonableness, calculation verification, model limitations, monitoring, and code review
- model benchmarking with both industry and validation produced benchmarks
- outcomes analysis, including back-testing
- stress testing including sensitivity analysis, model stability, and CCAR/DFAST
- aggregate model risk by examining both upstream and downstream model components
Our modeling and model validation subject matter experts have strong backgrounds building, using, maintaining, and testing proprietary and client models, including RiskSpan’s suite of market risk, prepayment, credit, and pricing models. Our team is thus highly proficient in assessing the conceptual soundness of models and evaluating model outputs for reasonableness.
If a limited-scope validation or model monitoring consisting of benchmarking and back-testing is all you need, our suite of proprietary models and other analytical tools, combined with our data expertise, make us an ideal partner for ensuring your models’ outputs remain reliable and defensible.
RISKSPAN INSIGHTSPreparing for Model Validation – Ideas for Model Owners
Model Validation: Is This Spreadsheet a Model?
Validating Vendor Models – Special Considerations
4 Questions to Ask When Determining Model Validation Scope
Performance Testing: Benchmarking vs. Back-testing
Validating Model Inputs – How Much Is Enough
Over the course of hundreds of client engagements, we have validated virtually every model type routinely used by commercial banks of all sizes, asset managers, Federal Home Loan Banks, rating agencies, and other financial institutions. We tailor engagements to your specific needs, from completely outsourced individual model validations to staff augmentation support of existing model validation teams. Sample model types include:
- Asset Liability Management (ALM) Models (QRM, prepayment, interest rate risk, deposit, and balance sheet forecasting)
- CCAR and DFAST Models (capital stress tests, economic scenarios, and pre-provision net revenue (PPNR))
- Reserve/Impairment Models used for ALLL and CECL
- Asset Pricing/Valuation Models (MIAC, DebtX, Compass, Blackrock, and in-house developed)
- Basel II Capital Models for both Pillar 1 A-IRB and Pillar 2 ICAAP Economic Capital/RWA
- Rating Agency Models (RMBS, CMBS, Servicer Advance, Single Family Rental)
- Market Risk Value-at-Risk (VaR) Models
- Operational Risk Models