Model Validation

Model Validation

We offer support with respect to all aspects of the model validation processes. As external expert, we validate the conceptual and technical soundness of risk models. Furthermore, we have extensive experience with regard to the identification and quantification of model risk, the development and review of model validation frameworks and the quantification and the design of model validation processes.

Testing

We help with the functional testing of your risk models. For this purpose, we design several representative test cases that allow us to test your models from various points of view. We have extensive experience with Development, Testing, Acceptance and Production (DTAP) cycles and model deployment.

Model validations

As external expert, we validate the conceptual and technical soundness of your risk models. Our validations are executed based on ‘best practice’ methodologies, and our reports are fully compliant with regulatory requirements. We validate both the conceptual and technical soundness of the risk models and the related governance, processes and reports.

In cooperation with your model validation department, we apply a structured approach for the execution of the validation. Before the start of the validation, a clear roadmap will be drawn, based on a well-defined scope.

Model risk

We advise on all aspects of model risk management, including setting up a model risk framework, drafting policies on model development and validation, and quantifying model risk. In addition, we advise on various approaches to mitigating model risk, including scenarios based on complexity theory, model risk limit setting, and the use of alternative models.

Organisation and processes

We advise on the development and review of model validation policy and governance. Furthermore, we offer support with the design of model validation processes and the structuring of tasks and responsibilities in the context of model validation.

Interested in Model Validation ?

Martijn de GrootJaap Karelse
Get in touch with Martijn de Groot or Jaap Karelse for more information about Model Validation .