Internal models, whether developed to help acquire new customers or manage existing ones (Operational Models), calculate losses on the lending book (Impairment Models) or to calculate Regulatory Capital to allow for unexpected losses (IRB Models). They are designed to have a level of complexity commensurate with the sophistication of the organisation they have been developed for and to be in line with Accounting (Impairment) or Regulatory (IRB) Standards pertaining to this.
4most have a wide breadth of knowledge in validating models. We have developed model inventories that aid the validation process by tracking changes required against specific elements of the Capital Requirements Regulation (CRR), the subsequent Regulatory Technical Standards (RTS) and PRA guidance including SS11/13. Through this we can enhance model control standards and governance processes to ensure materiality is understood and the process is transparent at all levels of our client’s organisation.
We offer independent model validation for a wide range of model types, including:
We also offer an outsource service for UK banks to allow them to focus their expertise on model development. This is particularly important for smaller institutions who face the challenge of maintaining a truly independent validation team for a limited number of internal models.
Consumer and commercial/business credit models, such as stress testing models, scorecards, loan loss and forecasting models
Mortgage loans and valuation models
Financial instruments valuation models
Financial reporting models, such as IFRS 9, CECL and other FASB standards.