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ModelTekTM

Industrialize Model Risk Management

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ModelTek blends operational excellence and analytical rigor to automate model risk management.

ModelTek is an industry-leading platform designed to industrialize model risk management for the second and third lines of defense. Regulators and auditors across the globe are consistently asking for more in-depth and more frequent model validation. The risk of non-compliance with regulatory standards, such as IFRS 9, BCBS 350, and BCBS 223 is severe.

BBA's ModelTek offers a complete model-risk platform to allow financial institutions to address model risk compliance in a cost-efficient and future-proof way.

Core Benefits

  • A set of statistical methods to measure stability, discriminatory power, predictive power, model performance, and accuracy.
  • Validation of low default portfolio.
  • Automate model risk management, save FTE time.
  • Achieve robust compliance with regulatory and audit requirements.
  • Generate the model risk reporting necessary for risk committees and boards.

KEY METRICS & DELIVERABLES

  • A comparison between the observed default rate and modelled risk parameters, including the definition of trigger levels based on how much deviation is acceptable between the expected and the observed level.
    • PD tests include Discriminatory Power, Accuracy, and Stability Tests.
    • LGD and EAD validation tests include Lorenz Power Curve, Power Stats, and Spearman's Rank Correlation tests.
  • Productivity tracking: Track the productivity of analysts by reviewing their quarterly activity logs.
  • Cost-benefit Analysis: Accurately estimate cost-benefits and productivity returns with the ModelTek platform.
  • A model validation methodology document mentioning the quantitative tests as well as the model risk tiering approach.

KEY MODULES

Data Ingestion

Seamless data ingestion or option to upload data manually.

Validation Workflows

Separate validation workflows for covering Expected Credit Loss, Probability of Default, Loss Given Default, and Exposure At Default models.

Hierarchy Testing

For observations with amber trigger levels, the option to deep dive at the factor level to complete the analysis.

Reporting

Store and access historic regulatory filings and create a single go-to source for audit purposes.

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