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.

PROPRIETARY ANALYTICAL TOOLS AND DATA EXPERTISE

RiskSpan’s professionals are effective practitioners of all facets of full-scope model validations:

  • 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

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

Need help with model validation? Request a free Consultation Today.

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