RiskSpan Edge Platform CECL

The RiskSpan Edge Platform Allowance (CECL) Module delivers the technology platform and expertise to take you from where you are today to producing audit-ready CECL estimates. Our dedicated CECL Module executes your monthly loss reserving and reporting process under the new CECL standard, covering data intake, segmentation, modeling, and report generation within a single platform….

Video

Join Us: Webinar – Managing Down Model Validation Costs

Register for our webinar on Managing Down Model Validation Costs, taking place on Wednesday, June 20th at 11:30am EST. Model risk managers increasingly are being asked to do more with less. Expanding model inventories and regulatory expectations are not always accompanied by commensurate increases in model validation budgets. Consequently, model risk managers have to be creative…

Applying Machine Learning to Conventional Model Validations

In addition to transforming the way in which financial institutions approach predictive modeling, machine learning techniques are beginning to find their way into how model validators assess conventional, non-machine-learning predictive models. While the array of standard statistical techniques available for validating predictive models remains impressive, the advent of machine learning technology has opened new avenues…

Applying Model Validation Principles to Machine Learning Models

Machine learning models pose a unique set of challenges to model validators. While exponential increases in the availability of data, computational power, and algorithmic sophistication in recent years has enabled banks and other firms to increasingly derive actionable insights from machine learning methods, the significant complexity of these systems introduces new dimensions of risk. When…

Machine Learning Detects Model Validation Blind Spots

Machine learning represents the next frontier in model validation—particularly in the credit and prepayment modeling arena. Financial institutions employ numerous models to make predictions relating to MBS performance. Validating these models by assessing their predictions is of paramount importance, but even models that appear to perform well based upon summary statistics can have subsets of...

Data Management

Recent FASB Updates Related to CECL

Implementing CECL has brought about a host of accounting and other technical questions. The Financial Accounting Standards Board (FASB) works with the industry through a series of meetings to identify these questions, evaluate industry feedback, and periodically issue clarifying statements. We will continuously publish summarized points of interest from these meetings as they arise.

Back-Testing: Using RS Edge to Validate a Prepayment Model

Most asset-liability management (ALM) models contain an embedded prepayment model for residential mortgage loans. To gauge their accuracy, prepayment modelers typically run a back-test comparing model projections to the actual prepayment rates observed. A standard test is to run a portfolio of loans as of a year ago using the actual interest rates experienced during...

Why Model Validation Does Not Eliminate Spreadsheet Risk

Model risk managers invest considerable time in determining which spreadsheets qualify as models, which are end-user computing (EUC) applications, and which are neither. Seldom, however, do model risk managers consider the question of whether a spreadsheet is the appropriate tool for the task at hand. Perhaps they should start. Buried in the middle of page…