ModVal

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ModVal.org is an online repository of source code and data, available free of charge for regulatory and internal model validation use. The repository contains models for derivatives valuation, XVA, funding, collateral optimisation, liquidity, regulatory or PFE based limits, and regulatory capital.

The ModVal.org website provides a diverse and well-organised collection of industry standard models, methodologies, and numerical techniques, available in a format that is easy to understand and use in practical model validation. The website includes input and output data for all tests in CSV and XML formats.

The users can download and run the source code with their own data to produce regulatory and internal model validation reports or research the impact of model choice. ModVal.org is written in portable C# and includes open source development and graphics tools to run on Windows, Linux, or Mac without the need to purchase any third party or commercial packages.

Benefits

Quants and risk control:

  • Complete source code provided
  • Regulatory and internal model validation
  • XVA including funding and KVA
  • Regulatory capital
  • Regulatory and PFE based limits
  • Liquidity
  • Risk-neutral and real-world simulation
  • Optimisation for long time horizons
  • General and systemic wrong way risk
  • Collateral optimisation
  • Advanced American Monte Carlo
  • Multi-curve valuation

Developers:

  • Easy to use API
  • Compiles in seconds
  • Runs on Windows, Linux, or Mac

 

Running a Test

The ModVal Library contains flexible validation tests and can be extended to cover alternative models, tests, or verification methods.

Running a Test

 

Least Squares Monte Carlo Example in One Dimension

ModVal.org incorporates a comprehensive C# class library for quantitative finance and provides detailed online annotation of source code, examples, and validation tests.

The example below demonstrates the use of least squares American Monte Carlo (AMC) for one state variable and compares the output of AMC with the analytical solution.

ModVal-AMC

 

Visit ModVal.org to review the complete source code and data for this and other model validation examples and tests or email info@modval.org for more information