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Model Validation
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
Key Features
- 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.
- 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.).
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.
Maciej is a Managing Consultant with 7 years of experience in model development and validation, specialising in machine learning and regulatory credit risk. He has hands-on expertise in building and assessing ML models for applications such as customer segmentation and credit scoring, including the use of alternative data sources as well as Pillar 1 and Pillar 2 modelling experience which he gained on projects completed for clients across Europe and the Middle East.
Denis Healy is a Senior Consultant in the banking and financial services industries. He has mainly worked across credit and market risk engagements with experience in Model Validation, FRTB, IRRBB, Liquidity and ALM. He also has technical expertise in SAS, SQL and Python.
Finalyse InsuranceFinalyse offers specialized consulting for insurance and pension sectors, focusing on risk management, actuarial modeling, and regulatory compliance. Their services include Solvency II support, IFRS 17 implementation, and climate risk assessments, ensuring robust frameworks and regulatory alignment for institutions. |
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