Validation of Credit Risk Models
Models are subject to a regular validation cycle, with emphasis given to a thorough model backtesting and benchmarking. The validation testing typically involves review of conceptual soundness and can use information from Model monitoring (e.g. threshold breaches) to inform areas of concern. An important element of any validation is the benchmarking to a suitable challenger Model. In addition, external data and seminal papers can provide extra insight when validating Model adequacy. Auriscon specializes in the validation of Credit Risk Models based on challenger Models and indpendent replication of Model functionality.
