Your ALM model is one of your most critical models. It can also be one of the more complex models, as hundreds of assumptions are used to support thousands of calculations. Customer input data records can number in the tens of thousands. Although most commercially available ALM models have been rigorously tested, model risk is still inherent in your ALM model, as your implementation, use and input components of your ALM model all affect your model risk.
We understand the requirements of a model validation from a regulatory perspective. We also understand the nuances of the assumptions, processing and data that are specific to ALM modeling. This experience along with our exposure to industry best practices, allows us to offer you an “effective challenge” to your ALM modeling and related processes.
Our final Model Validation Report will address the model risk management components as outlined in your current regulatory guidance (OCC 2011-12), and offer meaningful recommendations designed to enhance your ALM modeling processes and minimize your model risk.
Consider engaging in a concurrent ALM process review to incorporate best practices in areas of governance and policies, assumptions, process documentation and reporting.