Montana Analytics Announces
Comprehensive Model Validation for CCAR/DFAST Stress Testing Models

June 10, 2013

Minneapolis, MN—Montana Analytics is pleased to announce an active role in performing comprehensive Model Validation examinations of CCAR/DFAST Stress Testing models.  Our Model Risk Management Service continues to provide effective challenge for Stress Testing models using leading practices. The company’s efforts have been focused on validation and analysis of a variety of risk models and full attention and compliance with OCC and Fed regulatory requirements. Projects have been based on our proprietary Model Validation Program, first established in 2006.

The Model Validation Program covers numerous categories of model risk and examines multiple areas of specific testing through the use of proprietary Test Cases.  This includes data and assumptions management, theoretical design, mathematical testing, model performance assessment, backtesting and benchmarking.  Stress testing analysis includes a variety of work steps covering everything from sensitivity to macroeconomic factors to examining Fed scenario results. The examination produces detailed and transparent evidence and summarizes objective determinations of model risk, weaknesses and recommendations.

Since 1998, Montana Analytics team members have been either deploying and using vendor models in a portfolio risk management capacity or have been examining and validating these models for client projects as well as working directly with some of the vendor modeling teams. Software programs utilized include: Andrew Davidson Loan Dynamics, AdCo Prepayment, AFT, FSI’s Fin-Scope, Core Logic’s Loan Performance Risk Model, MIAC, PolyPaths, QRM, S&P Levels, Wall Street Analytics (WSA), and ZMdesk.

Montana Analytics was founded by mortgage industry veterans in 2002 and is exclusively focused on mortgage and consumer loan analytics. The firm has expertise in all the risk management disciplines within the mortgage and capital markets space including origination decisions, credit and market risk management, trade-desk analytics and econometrics. Montana Analytics senior professionals have a combined 60 years of experience leading and managing groups in the nation’s largest and most advanced finance companies. The company’s clients include both large and small firms spanning from hedge funds, to depository institutions (banks, thrifts and credit unions), FHLBanks, mortgage bankers, US Government agencies and GSE’s.