Statistical & Risk Consulting Services

  • Development of methodological approaches and design of modeling frameworks
  • Documentation of model methodology, supporting analyses, developmental evidence, and presentation materials
  • Statistical programming (data analysis, model development, production code development)
  • Model development and model validation program design, policy development, implementation, and staffing
  • Design and implementation of risk reporting, ongoing performance management, and production code
  • Assessment and or development of
    • Model development program
    • Model validation program
    • Stress testing program
  • Remediation of model issues, program deficiencies, and audit/regulatory findings

Quantitative Model Development

  • Delivery through a highly structured 9 phase development process designed to provide development evidence, governance, challenge, and audit trail:
    • Scoping and Planning
    • Data Assessment
    • Preliminary Data Analysis
    • Model Design and Challenge
    • Model Development
    • Model Performance
    • Model Use and Maintenance
    • Model Validation
    • Transition to Production
  • Approach emphasizes interaction with model stakeholders, challenge and oversight by subject matter experts, understanding of the underlying process being modeled, and high-quality documentation
  • Emphasis on parsimonious model specifications, concurrent development of approaches that employ differing assumptions or methodologies, and clear communication throughout the development process

Model Risk Management

  • Complete validation services consistent with the Federal Reserve Bank’s Supervisory Letter SR 11-7 on model validation
  • Process focus on model conceptual soundness, ongoing monitoring of model performance and comparison with benchmark models, and outcomes analysis
  • Reporting of key findings with recommendations for identified issue severity