Model Validation Services
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.
- 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
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.
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
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.