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Model Validation

Do your risk models show what you need to see? Would your regulator agree?
Designed to assure the reliability and methodological compliance of your risk models landscape

Finalyse’s ‘Model Validation’ service determines whether the models supporting your business decisions and the monitoring framework that assures their reliability are methodologically sound and compliant with relevant regulations such as Basel III or your internal standards. In addition, this service provides you with a comparison to industry best practices. The resulting ‘Validation Report’ gives you an independent and detailed assessment of your models and the related infrastructure. It identifies the strong and weak points of your models, their fit to your environment and actions for improvement.

You will benefit from the sound track record of Finalyse of more than 20 successful projects in regulatory and internal compliance gap analysis, qualitative and quantitative analysis of IRB & IFRS9 models (incl. existing scorecards, PD, LGD, EAD/CF), IRRBB, Market Risk (FRTB, VaR, Stress Testing), Fraud, Machine Learning and other models.

How does Finalyse address your challenges?

Identification of major model weaknesses and enhancement possibilities

Identification of gaps vs. regulatory/internal requirements PLUS ready-made materials for regulators and/or internal audit

Mitigation of model risk management

Getting best practice benchmarks

Placing the bank’s models within the model landscape of the industry

Full validation cycle from model objective to use test

Get all your questions answered
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Key Features

  1. Our ‘Model Validation’ service offers a second opinion on your models supporting business decisions to ensure their methodological soundness and compliance with regulations and your internal standards.
  2. As a result, we will provide you with a ‘Validation Report’, an independent assessment of your models and their related implementation aspects(data, IT, etc.).
Principal Consultant - Model Validation / Credit Risk Modelling Toolkit Expert

Zalán is a Principal Consultant in Credit Risk with extensive experience in the development & validation of statistical credit risk models. Since joining Finalyse, Zalán has successfully accomplished the validation of numerous IRB PD/LGD/EAD and IFRS 9 models and contributed to the implementation of Finalyse’s ECB Validation reporting toolkit. He has also concluded the development of numerous application/behavioural scorecards and IRB PD/LGD models, as well as designed and implemented Finalyse’s Credit Risk Modelling toolkit. Zalán is a PRMIA certified Professional Risk Manager.

Christophe Caers
Senior Consultant – Expert Climate Risk

Christophe Caers is a Senior Consultant based in Finalyse Brussels with extensive experience in model development and validation. He has performed full scope validation of several IFRS 9 models from banks operating in the Middle-East. Moreover, Christophe has performed several initial validation exercises on IRB models at a large Belgian bank. Christophe is a certified Financial Risk Manager (FRM).