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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 asking consistently 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 observed default rate and modelled risk parameter, including the definition of trigger levels based on how much deviation between expected and observed level is acceptable
    • PD tests include: Discriminatory Power, Accuracy and Stability tests
    • LGD and EAD validation tests include: Lorenz Power Curve, Power Stats, 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 from 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 level, option to deep dive at factor level to complete the analysis

Reporting

Store and access historic regulatory filings and create a single goto source for audit purposes

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