Regulatory Capital Models Review - Large European Bank
Conducted model audit of technical aspects of the AIRB Credit Risk Models, Internal Market Risk Models and AMA Operational Risk Model at a major Dutch bank used for regulatory capital and economic capital purposes.
The engagement included reviewing model development and validation reports to assess the modelling choices and effective challenge around model design and logic;
relevance and representativeness of model data;
key assumptions and limitations; model outputs and implementation; as well as regulatory compliance.