We have expertise in-house on model validation/revalidation and perform back testing for various products based on client requirements across asset classes. Our seniors stay on top of evolving practices and regulations, and possess an excellent understanding of pricing concepts to visualize the implications of changes to key assumptions on these models and to develop solutions aligned with the latest standards.

Our Model Development/ Validation services include:

  • Risk modeling (PD, LGD, EAD, VaR, econometric modeling)
  • Retail modeling
  • Wholesale/corporate modeling
  • Model risk management
  • Model development and calibration
  • Model validation (price and risk models)
  • Model back testing
  • Sensitivity analysis
  • ICAAP modeling and analysis
  • Technical documentation

Our best-in-class modular specialist teams have a deep understanding of the evolving regulatory landscape and consist of cross-function specialists with backgrounds in risk, capital markets, mathematics, economics, statistics, data analytics, and programming.