Validation of Credit Models
at Belgian Bank

Overview

A Belgian bank has created a Model Risk Management framework applicable to credit risk models and was looking for a technology to streamline their model validation process and make it more efficient.

What are the problems
the bank faced

  • Small validation team

Instead of hiring more people and expanding the team, the bank wants to focus on making processes more efficient.

  • Repetitive work

For IRB models, in particular, the same tests are required to be performed with some periodicity. Through automation, the bank aims to free up time to focus on SME tasks and more quantitatively challenging work.

  • Regulatory reporting

IRB models require a regular cycle of validation that includes reporting the outcomes to the regulator. In order to comply with such requirements, it is often necessary for the validation team to go back in time and reproduce certain outcomes.

Our Solution

The Belgian bank has chosen a SaaS deployment of Chiron App to automate and significantly shorten the validation process. The model validation team is using Chiron App for the validation of among other things Probability of Default models (PD) and Loss Given Default models (LGD).

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.

Ready to streamline your model lifecycle?

Leverage our award-winning data science platform to embed trust in your algorithms and embrace responsible data-driven decision-making.

Top picks for you

Read our latest insights about risk management in finance and artificial intelligence.