Behavioral Analysis

We develop and test behavioral models to predict all facets of loan performance.

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Model Risk Management

We offer independent model validation of both internally developed and external vendor models for quantitative finance and risk management.

Model risk management work includes the entire spectrum
of "model risk"

Model Risk ManagementWe have developed enterprise-level model validation programs to ensure financial soundness and to meet regulatory requirements. We achieve this thorough alignment of our rigorous methods with industry best practices including regulatory information such as the FHFA's 2009 guidance "Validation and Documentation of Models and Related Controls on Internal Processes" and the OCC's recent 2011 "Supervisory Guidance on Model Risk Management".

Model risk management work includes the entire spectrum of "model risk". This spans from conducting independent model validation efforts on specific applications to developing complete enterprise programs. We provide a spectrum of services including models and simple documentation to advanced statistical estimation of complex models as well as enterprise-level model validation programs to ensure financial soundness to meet regulatory requirements.

We cover models from simple documentation to advanced statistical estimation models for enterprise programs.

Our independent model validation program provides superior results through rigorous methods and transparent techniques. We cover all aspects of controls, theory, data inputs, assumptions and mathematical computations. We establish and execute detailed test cases to cover all aspects of solid model risk management – including benchmarking results and backtesting predictions. The result is comprehensive documentation of all validation outcomes.

Our Model Risk Management services include:

 Program Design and Implementation

  • Corporate Model Policy
  • Coordination with Business Units
  • Risk Ranking Models
  • Coordination of internal/external Model Review
 

Independent Model Validation

  • Comprehensive program meets OCC and FHFA guidance
  • Benchmarking, Backtesting, Performance Monitoring
  • Liaison with Regulators as needed

Read about our methodology