Core focus on Model Validation for 15+ years

We support our clients in validating models, internally developed or based on vendor solutions, across all uses: pricing, valuation and risk management.

Our pool of experts covers all assets and liabilities with years of experience in banking, insurance, asset management and financial market infrastructures.

Apart from financial risk models, we also validate non-financial risk models (e.g. AML, Fraud), treasury/liquidity models, and models based on new techniques (e.g. machine learning), supporting our clients in all their potential needs.

VALIDATION SERVICES

What is Model Validation?

Model Validation consists of assessing the risk of whether an individual model contains issues or is improperly used vis-à-vis best practices guidelines and/or regulatory requirements. Model issues are due to flaws in design or technical implementation, while misuses are typically driven by an inadequate understanding of model assumptions or limitations. In all cases, these issues or misuses can lead to adverse business decisions with potentially severe financial damage for the company. The validation has to be performed by an independent party and provides assurance to all stakeholders (model owners, developers, board and supervisors) that these issues and limitations are well known and mitigated.

What have we done in banking and market infrastructure?

Risk Dynamics has validated hundreds of models for banks and market infrastructure operators (clearing houses & CCPs) across all models types and uses (pricing, valuation and risk management). We have supported institution validating models according to successive Basel standards, SR11-7 and other relevant regulatory regimes (e.g. EBA/ECB, PRA, APRA, OSFI).

What have we done in Insurance?

Risk Dynamics has years of experience in validating pricing, valuation and capital models for life and P&C insurers. We have supported our clients in their applications to Solvency II, Lloyds, SST and other regulatory regimes (e.g. BMA).

Banking Specific Industry

InsuranceSpecific Industry

Regulatory Models

Traditional Models: Credit Risk, Market Risk, CCp, IRRBB, Op Risk / AMA

CCAR / ST

IFRS9 / CECl

EMIR / FRTB

Non-Regulatory Models

Treasury & financial Planning: ECAP, AML, ALM, Pricing

New techniques / Machine learning: fraud, client segment

Regulatory Models

Actuarial: Underwriting & reserver risk

Operational risk

Market risk

Credit risk

Aggregation

External: ESG & Natural catastrophes

Non-Regulatory Models

Cash FLow based: Best estimate,pricing

New techniques/Machine learning

Others: financial planning...

VALIDATION SERVICES

How we do it?

Over the years, Risk Dynamics has developed a proven and flexible proprietary Model Validation framework that can be easily tailored to individual clients’ needs. This framework is supported by a wide validation toolkit, testing libraries and platforms. It enables us to capitalise on our years of benchmarks and to provide a very efficient service.

We have teams located in strategic global locations (Europe, North America, Asia), remaining in close contact with clients with an operating model that leverages our experts worldwide.

Our delivery model allows us to serve punctual client needs and can be smoothly adjusted to evolutions in demand. We also have experience in long-term partnerships and outsourcing with several clients, working closely with their internal teams for many years.

Case Studies

We embrace our mission to bring each client the best service

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A comprehensive review of P&L stress testing models
Banking
Big data meets CRE credit risk modelling
Banking
Validating credit risk models helps a global bank improve operating model
Banking
Assessing a global bank’s recovery and resolution plan financial aggregator
Banking
Full scope validation of an initial margin model
FMI
An in-depth review of a model developed by a large Asia/Pacific bank moving from TSA to AMA
Banking
Developing and reviewing multiple sets of validation guidelines for a large bank in Europe
Banking
Validation of the Liquidity Risk Management Framework of a European Central Counterparty
FMI

Our Management Team

Bernhard-Babel.png

Bernhard Babel

Managing Director

Brussels

Area: Banking

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Marc Taymans

Managing Partner

Brussels

Area: North America

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Marie-Paule Laurent

Managing Partner

Brussels

Area: Regulators

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Roel Van den Heuvel

Associate Partner

London

Area: Insurance

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Frédéric Van Weyenbergh

Associate Partner

Brussels

Area: Continental Europe

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Thomas Wallace

Associate Partner

London

Area: UKI

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Andreas Raggl

Managing Partner

Zurich

Area: Asset Management, APAC, Middle East, Africa, Latin America

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