Risk model development often faces the challenge of imperfect data. Histories can be short, quality may be lacking, and in some cases the number of test cases may be small – for example, with low-default portfolios.
Recent supervisory guidance in SR15-18 and SR 15-19 explains the importance of models being able to stand up to the rigors of validation. It is essential to have not only high quality primary ‘Champion’ models, but also high-quality Challenger/Benchmark models.
Protiviti’s Model Risk Management team has models to address a wide range of financial issues including credit risk, operational risk, market risk, and stress testing and forecasting. Our Models team can assist with development of Champion models as well as Challenger/Benchmark models. We have models for a variety of use cases, including stress testing (CCAR/DFAST) as well as Scorecards, Credit Risk, Market Risk, Operational Risk, Economic Capital/Solvency, and Liability Management.
Clients select us for the quality of our models, as well as our ability to overcome limitations and deal creatively with difficult datasets.
Our Areas of Expertise Include: