Automating Model Validation

Overview

A top-tier bank was unable to cope with increasing regulatory requirements on the validation of IFRS 9 credit models, liquidity models, etc. The bank needed a solution that can help improve their validation process and benchmark models.

Our Solution

Using a SaaS version of Chiron App, the bank has been able to significantly improve their validation process:

  • Automate periodic validation of the credit risk models, leading to 10x faster validation and better benchmarking
  • Improve liquidity models thanks to the use of machine learning techniques
  • Showcase innovation which has helped attracting high-profile employees

Benefits of Chiron App Integration

  • Time Saving

The time spent on the repetitive tasks has been reduced by a factor of 10. Therefore they now have time to perform more in-depth analyses, deep dive into the data and validate other types of models.

  • Audit Trail

Through versioning and keeping the linkage between Model Risk Management objects in Chiron App, the internal validation unit can easily go back in time, reproduce results, and respond to questions from regulators.

  • Collaboration

Chiron App facilitates collaboration within the validation team and allows controlling access rights for other members within the organization.

  • Better Testing

Because of the shorter validation cycle, additional time can be allocated to more in-depth quantitative analyses and a more thorough investigation can be performed in case of identified model issues. With Chiron App, the bank can now source data independently (from the first line) and have control over the full cycle.

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