Risk Model Review and Validation

Client Needs & Objectives

We took actions for several years as part of our partnership to contribute to the validation of risk models. It includes credit risks, stress tests and recently counterpart and market risks (EPE, CVA, Stress VaR…).

  • Context: 1- to 3-month recurrent missions for 3.5 years, detached within the model validation team of the treasury risk direction of the group
  • Client: International banking institutions (top 10 worldwide)

Our approach

This partnership reflects a requirement for long-term quality service. It allows to understand the variety of models that we have reviewed (benchmarking).

  • Review of pricing and counterparty risk models (EPE …)
  • Review of Basel II regulatory models (PD, LGD, CCF)
  • Review of regulatory parameters Back testing
  • Review of stress tests (including the ones applied in EBA and IHC / CCaR stress)
  • Validation of models for all type of portfolio and subsidiary (Italia, US, Turkey, retail France …)

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