Market Risk Model Validation Expertise

Our staff has led numerous model validation projects for Commercial Banks, Investment Banks and other large financial institutions. We are experts in understanding structured products such as MBS, CDOs and other complex option embedded instruments such as: callable bonds, puttable loans, caps, floors and swaptions. In addition, we have considerable experience in how to estimate the behavior and duration of Core Deposits for Banks, Thrifts and Credit Unions. Finally, our staff has also designed, developed and validated numerous models for institutions such as Bankers Trust, NatWest and a number of other large financial institutions.

In summary, we have a great deal of direct experience in all of the theoretical and practical modeling issues that would be relevant to the assets, liabilities and hedging instruments that financial institutions transact.

Credit Risk Model Validation Expertise

Wall Street North’s staff and associated mathematicians have also designed, reviewed or validated a considerable number of Credit Risk VaR models for financial institutions such as money center banks, regional banks, specialty lenders (such as auto finance and leasing companies) and other large financial institutions. We have developed our own in-house credit models using both Monte-Carlo simulation methodologies and the newly developed techniques of closed form Analytical Formula solutions (as adopted by the Basel Committee for the latest international capital regulations for banking institutions). In addition, we are highly familiar with the most popular techniques for modeling default probabilities, including Logistic and Probit regressions and Neural Network models. Finally, we have extensive practical experience in where to source industry benchmark data needed to populate model assumptions and to validate internal credit modeling data. Our in-house models in this field can also prove invaluable in validating the results of a client’s proprietary models or third-party software.

Contact Us

We are confident that we can assist you with any model validation project. Please contact Steve Gordon, Managing Director (203) 569-5005 to find out more about our capabilities.