As per key regulations such as the Basel Committee on Banking Supervision directive 21 US Fed SR 7-11 and Solvency II, financial institutions are required to quantify model risk. Specific to OTC derivatives—the model risk associated with using a possibly incorrect valuation, and to identify the risk associated with using unobservable calibration parameters.

To accelerate compliance, financial institutions are investing in independent resources from trading and risk operations to ensure models have been implemented properly, perform as expected providing good hedges in all market conditions, and to understand model behavior and limitations under extreme market scenarios

To ensure models have been implemented properly, perform as expected providing good hedges in all market conditions, and to understand model behavior and limitations under extreme market scenarios. The Model Validation Studio is part of the Numerix...
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Independent, Transparent, Trusted
Our team of financial engineers can provide comprehensive testing and advisory services for model validation and assist with regulatory compliance issues. Armed with an array of standardized model tests and access...
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