•We perform model audits (stand alone), or parts of model's audit (e.g. testing).
•We help our clients formulate internal procedures for quantitative audits.
Internal Audit
•We perform model performance tests
•We review model documentation, provide templates, and
•Review control process
•We review or help our clients formulate internal policies for Model Risk Management
Model governance
•Rerun of models (e.g. quarterly calculation)
•On-going monitoring tests and reports
On-going processes
•We develop primary/benchmark models, alongside with detailed documentation.
•For regulatory models, we include tests models to pass compliance with regulationse.g. MoC calculations, reimplementation, uncertainty estimation, sensitivity to assumptions)
•We document models either following client’s templates, or we provide our own documentation to match client’s level of detail.
•We perform validation in line with clients' internal governance of models and the riskiness of the models validated.
•We document using either our own documentation or using clients' templates.
•We reimplement/benchmark models.
•We test for Compliance with regulations (e.g. IFRS 9, BCBS IRRBB, SS 3/18, SR 11-7)
Model development
Model validation
What we do
6 Ing. Giulini Str.,
Bucharest, Romania,
0738.846.868
radu.popescu@model-tree.net