Model Validation Solutions
CompatibL offers independent validation services across a wide range of valuation and risk models, including formal regulatory validation reports as well internal reviews with actionable insights to mitigate models’ weaknesses and limitations. We have expertise in the latest quantitative research and model validation methodologies as well as implementation practices.
Regulatory Validation Services
A transparent and independent model review process is an integral part of modern model vetting and model risk frameworks.
CompatibL has hands-on experience and expert judgement in all aspects of model QA and review processes. We validated hundreds of models and software solutions for banks and asset managers across multiple model types with applications to valuation and risk management.
CompatibL’s regulatory expertise spans real-world and risk-neutral multi-factor and multi-asset risk models for most asset classes including interest rates, foreign exchange, equity, inflation, credit and commodities.
Model Validation Services
Major risk metrics and valuation adjustments
SA-CCR
Capital optimization models
Regulatory MPOR
Multi-curve real world and risk neutral valuation, capital and PFE models
Basel II, II.5, III, early IV
ISDA SIMM
Advanced multi-currency CSA and collateral simulations
IRRBB
FRTB for market and credit risk
Validation Steps
CompatibL’s approach to model validation and verification includes the following stages for a comprehensive and detailed review of the model and its components.
- Model
specification stage - Validation
specification stage - Testing stage
- Conclusion stage
- Delivery stage
- Analyze model documentation, verify its consistency, level of detail and correctness
- Analyze the relevant regulatory guidance and market practice, model choice applicability and adequacy, and propose operationally feasible alternatives
- Identify and assess key model inputs and outputs, verify their completeness and proper use of market data for a given model
- Identify and assess key model assumptions and limitations, then compare to other model alternatives
- Identify and assess key validation assumptions and limitations, given input and output data and possible operational constraints
- Review data scope, validation criteria and functional tests for model vetting based on the results from the previous stage
- Run validation tests
- Assess the impact of model choice on material measures
- Analyze individual test results, provide recommendations and conclusions
- Gather all findings into an executive summary and a highly detailed full validation report, conforming to the relevant regulatory validation template when applicable
- Deliver validation documentation, reports, and supporting materials
- Deliver test code artifacts and detailed documentation that allows this validation to be rerun in-house after project completion
Training Courses
CompatibL has developed and presented several training courses on market and credit risk model validation,
FRTB validation and other solutions to help specialists involved in this area to broaden
their expertise in the latest regulatory frameworks.
CompatibL team can customize our training program to suit the needs of your quants and model validation experts.
Why CompatibL
Cost Savings
Our approach reduces the costs compared to a traditional validation approach as we reuse standard validation code components gathered over time in our model validation platform.
Independence
Rely on independent high-quality model validation performed by a team with extensive experience and a solid model validation code framework.
Highly qualified Expert Team
Benefit from access to a wide range of quantitative and technical resources and ensure that top experts work on validating models critical to your business.
Documentation
The documentation delivered during the validation process is comprehensive and sufficient to independently reproduce the calculation results.
Extensive Experience with In-House and Vendor Models
CompatibL has experience with the leading quantitative model types published in academic literature, and with the implementation of these models by software vendors, leading to more effective and streamlined validation process.
Deep Analysis of Model Assumptions, Limitations and Output
We don’t stop at producing a model validation report and also help you to take a wider view on model risk, its origins and potential impact on your business.
A New Approach
to Model Risk Control
to Model Risk Control
Explore model validation services
offered by our expert team
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offered by our expert team
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A New Approach
to Model Risk Control
to Model Risk Control
Explore model validation services
offered by our expert team
Download
offered by our expert team
Contact CompatibL
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Our Customers Say
CompatibL implemented a robust and flexible deal capture and market risk platform for complex positions as well as a credit, funding and capital risk platform for trading positions across RMB. They have provided excellent post-implementation services and support. The CompatibL and RMB teams synchronise their daily work seamlessly and we are very pleased to work with CompatibL as an integral part of the bank’s Trading and Risk activities.
CompatibL implemented a customized software solution based on CompatibL Risk Platform that addressed our firm’s unique mix of business and regulatory requirements and is fully integrated into our trading and market data infrastructure. CompatibL has become a reliable long-term IT partner of BayernLB and demonstrated great skill and commitment in providing post-implementation services and support as well as adding new product features to support our evolving business.
We are very satisfied with CompatibL’s risk and regulatory capital solutions. It is rare to find the highest level of expertise in both software engineering and quantitative finance in one firm. Their pragmatic approach to problem solving together with an aggressive focus on delivery leads to successful implementations. They are business enablers who have delivered beyond expectation.