Independent model review
A structured assessment of model purpose, assumptions, mathematics, implementation and controls.
Model validation
Independent validation that stands up to scrutiny.
We validate pricing and risk models with the same rigour we would expect as a regulator, an auditor or a risk committee — and we explain the result in plain language.
Where we help
From a single model to the whole book.
Validation is not a checklist. It is an argument about whether the model is fit for its purpose, supported by evidence.
Benchmark modelling
Independent benchmark models for vanilla and exotic products, including book-level re-pricing.
Back-testing and performance
Back-testing frameworks, quality metrics and the evidence needed for regulatory and audit review.
Model risk governance
Validation policy, model inventory, tiering, ongoing monitoring and reporting to management.
Model development review
Development standards, testing, documentation and the controls around model change.
Regulatory evidence
Validation reports and remediation plans that are clear enough for regulators and internal audit.
Engagement
What a typical engagement looks like.
The output is not a checklist. It is an independent view of whether the model is fit for its purpose, and what needs to change.
Typical problems
- A validation deadline is approaching and the evidence is thin
- Book-level model risk is unknown or disputed
- Validation findings are not accepted by the model owner
- Model changes lack independent challenge
Deliverables
- Independent validation report
- Benchmark models and book-level re-pricing analysis
- Back-testing and model performance metrics
- Model risk rating and remediation plan
Selected work
Validation work that changed a decision.
Client names are withheld. The outcomes are representative.
Tier 1 Swiss investment bank
Model risk on a book level
A full re-pricing of a six-figure FX book showed that the book was not sensitive to the modelling assumptions under review.
Read the case study
Requirement
The bank was concerned that its FX pricing models might not reflect the book’s skewness and kurtosis risk, despite sensitivities observed on individual positions.
Solution
We implemented benchmark pricing models for vanilla and exotic FX products and re-priced the entire book, rather than relying on a sample of trades.
Benefit
The trader’s assessment was confirmed with evidence from the actual book, giving the bank a defensible view of its model risk.
Leading Nordic bank
Model development policy for market risk models
A development framework that made internal model changes more predictable, testable and easier to audit.
Read the case study
Requirement
The head of market risk asked us to improve the development process for internal risk models and introduce best practices.
Solution
We defined a model development framework covering principles, policy, process and procedures, with automated tests and quality metric reporting.
Benefit
The development process became more efficient and predictable, and now meets regulatory and internal audit requirements.
Need a second opinion?
We can review a model, a validation report or an entire model risk framework — and tell you where the real risk sits.