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