Optimized Methodology

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Montana Analytics Announces
Rigorous Independent Model Validation Program

May 29, 2010


Minneapolis, MN—Montana Analytics is pleased to announce the release of an updated rigorous independent Model Validation Program which serves as a compliment to their Model Risk Management advisory services. The company’s efforts have been focused on comprehensive analysis of a variety of risk models and full attention and compliance with OCC and FHFA regulatory requirements.  

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.  The examination produces detailed and transparent evidence and summarizes objective determinations of model risk, weaknesses and recommendations.

Validation of external models includes many tools used in MBS portfolio analytics. 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. 

“The Montana Analytics team consistently provided high-quality work that is unparalleled by other Model Validation firms I have worked with. The depth of knowledge present within this organization results in a comprehensive and detailed end-product. These factors, along with consistent and personable service make working with them a wonderful experience,” states client Benjamin Lee, Manager, Valuation and Hedge Accounting at FHLB Pittsburgh.

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.


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