CASE STUDY

Automated Testing and Documentation at G-SIB

Regulatory expectations and requirements have intensified over recent years and model risk has taken centre-stage on the regulatory agenda. As a result, banks across the industry are reconsidering their operating model and looking for ways to increase efficiency and effectiveness across the end-to-end model lifecycle.

In this case study, we look at how a Global Systemically Important Bank (G-SIB) has implemented both the Chiron App and Chiron Enterprise to support its modelling lifecycle and model maintenance under evolving regulatory standards.

REGULATORY COMPLIANCE

The firm is committed to practising effective Model Risk Management (MRM) through enforcing model risk policies that ensure full compliance with the SR11-7 guidelines for MRM.

MODEL DOCUMENTATION

Model documentation provided by model developers is often poorly written and inconsistent, meaning it is inadequate to support a rigorous validation effort around the standards set by SR11-7.

MODEL LIFECYCLE

Standardising the model lifecycle is challenging, given the multiple data sources and analytics libraries, the lack of standardised testing templates, and the strict documentation standards.

The Challenges

The global tier 1 financial institution was looking to define and implement technical capabilities aimed at increasing the efficiency and effectiveness of the model development lifecycle.

Furthermore, the organisation was performing a model uplift to align its model documentation with internal/external minimum documentation standards, and wanted a strategic solution in place to streamline future uplifts through automated testing and documentation generation.

chiron enterprise

The Solution

Chiron App and Chiron Enterprise were deployed on-premise and integrated with the client’s enterprise risk systems and data stores to leverage the golden sources within the organisation.

By enhancing the model lifecycle and introducing automated testing and documentation, the organisation achieved efficiency gains needed for model developers to re-focus on value-add activities.

REPRODUCIBILITY & CONSISTENCY

All tests run on the platform can be replayed in the future with the data and model as they were originally run. Consistency can be achieved via default mappings, which ensure that the same tests are used for the same assumption. 

AUTOMATED TESTING & MONITORING

Models are tested at scale through execution of standardised reusable routines, which improves the efficiency, reliability and speed of repeatable tasks and tests.

AUTOMATED MODEL DOCUMENTATION

Automated generation of model documentation can be supported via pre-defined text blocks, i.e. text blocks linked to input data, assumptions, controls, etc. This enhances consistency and efficiency.

INTEGRATION

Integration allows information like model name, model owner, legal entity, etc. to be consistently consumed. As such, the metadata model can be designed complementary to data readily available within the client’s infrastructure. 

The Chiron Advantage

The Chiron MRM technology is an end-to-end model risk management platform consisting of two technologies, Chiron App & Chiron Enterprise.

Chiron Enterprise is a highly configurable model inventory and workflow engine that enables organisations to access, review and update model-related info in a controlled environment. The tool ensures the auditability and transparency of all events over the model lifecycle, and facilitates a smooth execution of end-to-end model MRM processes.

Chiron App is a modular data science platform to automate all quantitative testing and documentation. The platform includes MRM-specific analytics such as benchmarking, backtesting, and data quality analysis. Chiron App versions and links all models, data, and reports, enabling users to go back in time and reproduce any previous result. 

Ready to transform your business? Let’s talk. Contact our sales team at yields.io/contact

Learn more about the Chiron MRM Platform at www.yields.io

Simon Vanooteghem

Director of Sales

Efrem Bonfiglioli

Solution Engineer

In 2022, the Chiron Model Risk Management Platform has won the ‘Model Validation Service of the Year’ award at the Risk.net technology awards for the fourth year in a row. Yields.io is widely recognized as a technology leader in MRM, and is supported by global partners such as KPMG and IBM.