Model Validation

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A Pragmatic Model Risk Management Partner

SMEs, quants, and tools to support your model governance program

RiskSpan’s model governance analysts, managers, and subject matter experts have been validating models for well over a decade.

We know what works and what doesn’t when it comes to devising effective challenges, evaluating conceptual soundness, verifying data sources and process, and constructing benchmarking, back-testing, outcomes analyses, and sensitivity testing.

Comprehensive Model Validations

Ensuring Your Model’s Outputs are Reliable and Defensible

Conceptual Soundness

We assess the quality of your model’s overall design by assessing:

  • Model limitations and monitoring
  • Input and assumption reasonableness
  • Developmental evidence and documentation

Process Verification

We ensure that your model has been implemented properly by performing:

  • Calculation verification and code review
  • Benchmarking against our proprietary models
  • Report review and documentation consistency

Outcomes Analysis

We evaluate the reasonableness of your model’s outputs by carrying out:

  • Sensitivity analysis
  • Stability and robustness assessment
  • Statistical methodologies for back-testing

The RiskSpan Advantage

Proprietary Analytical Models

RiskSpan’s suite of market risk, prepayment, credit, and pricing models function as ready-made benchmarks.

Full- or Limited-Scope Validations

Our flexible delivery model reduces your costs by only doing those tasks where your team needs our help.

Defensible Model Validation Reports

Clear, coherent reports that meet regulator and other stakeholder requirements and withstand scrutiny.

Supported Models

Financial / Market Risk Models

  • QRM
  • Polypaths
  • Algorithmics
  • Relative Value Analysis (RVA) and Bond Caller
  • Net Charge-off Stress-Test Forecasting Model (DFAST)
  • Tier 1 Capital Stress-Test Forecasting Model (DFAST)
  • Proprietary Allowance for Loan and Lease Loss Reserves
  • Proprietary bank financial forecast
  • Intex
  • Liquidity Forecasting and Stress Test

  • ALMeter
  • FiServ Sendero

  • RMBS
  • CMBS
  • Servicer Advance
  • Single-Family Rental

Asset Pricing/Valuation Models

  • Blackrock (MBS Agency pricing)
  • Proprietary non-Agency MBS and mortgage loan model
  • MPP pricing (FHLBs)
  • MIAC (Residential mortgage pricing)
  • DebtX (Commercial RE loans)
  • CompassPoint
  • Proprietary options pricing

  • OTTI Models (LP Risk Model)
  • Proprietary counterparty credit scoring
  • Consumer Loss Forecast (Home Equity Loans)

  • Loss Mitigation Waterfall Model
  • Verint Staffing Level Forecasting Model

  • Value at Risk (VaR)
  • MSR Stochastic Risk Model
  • Servicing Rights Valuation Model
  • Delinquency, default, prepayment, and severity model
  • Business unit forecasting model for CCAR stress testing for top ten commercial bank
  • Interest rate forecast model for mortgage TBA profiles
  • Primary/secondary mortgage spread model
  • Product mix model for certificates of deposit
  • Operational Risk Forecast Model
  • Home Equity default and loss forecasting model

Have Confidence in Your Models

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Model Inventory Made Simple

Customizable Model Risk Management Software

RiskSpan’s Model Risk Management Module consolidates model risk management planning activities and stores model documentation and validation reports in a simple, clean, and easy-to-use interface.

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