overview

Oneview Model Validation Studio is a suite of automated tests to confirm model accuracy and performance on Numerix models, third party models or proprietary models.  

To ensure models have been implemented properly, perform as expected providing good hedges in all market conditions, and to understand model behavior and limitations under extreme market scenarios. The Model Validation Studio is part of the Numerix Oneview platform, and enables model validation against thousands of market environments.

capabilities

Wide Variety of tests

 

Numerix has implemented the standard model validation tests in its studio.  In addition, Numerix has introduced a set of mathematical tests that bring unprecedented rigor to the model validation process.  They also allow Numerix to validate unusual models and payoffs that have not been seen before.

Greater Thoroughness, Greater Rigor

 

As regulators bring standards ever higher, financial institutions’ revenue lines are at risk of regulatory curbs on trading. Numerix’s mathematical approach and parallel computation framework allows more rigorous tests to be carried out over thousands of scenarios. This gives our clients rigor and thoroughness that is head-and-shoulders above the market, far beyond expectations, to ensure business lines suffer no regulatory disruptions.

Greater Speed

 

Increasing regulatory demands slows down the validation process, and validation backlogs develop.  Firms fall victim to nimbler competitors if they cannot act quickly on opportunities. The Numerix Model Validation Studio brings automation to the problem of model validation, where speed is only a question of the number of cpus that can be brought to bear.

Greater Efficiency

 

Addressing regulatory concerns has, in the past, meant hiring a large number of expensive consultants. These consultants must return year after year, for yearly re-validations. As a result, the cost of model validation is always rising, and eats into the RoE.  Automating model validation, as Numerix does, tames these costs, and brings the revenues down to the bottom line, where they belong.

Automated Testing

 

Numerix has developed its own tests, as well as market standard tests, and can run them against either client models, Numerix models, or even third party models, and once set up, they require no human aid, or labor

Automated Analysis

 

With each test, Numerix has developed a severity score, a rating to decide how well the model performs, and can evaluate the entire test using statistical measures on this rating.

Automated Report Generation

 

Once a test is run, the testing and analysis is injected into a model validation report template, suitable for regulatory submission, which includes a methodological review of the model, a mathematical description of the payoff, and a description of the test, its parameters and setup, and its results.

Model Benchmarking

 

The Numerix testing framework in the Model Validation Studio includes a benchmarking test.  This test can be against an equivalent model, for implementation testing, or against a market standard model, for challenge model testing.  The Numerix Cross Asset Library is the best benchmarking library in the market, because of its wide coverage of payoffs, models, and asset classes. Additionally, though, the Numerix testing framework has been applied to validate the Numerix Cross Asset Library already, and documentation supporting this validation is readily available. 

Benefits & Features
  • Understand Model Behavior
    Automated testing for model validation to ensure models have been implemented properly, perform as expected good hedges in all market conditions and to understand model behavior and limitations under extreme market scenarios

  • Accelerated Speed to Market
    Typical model validation exercises can take 12-18 months, Numerix via the Oneview platform, and the Model Validation Studio can complete the implementation and testing of new models within weeks, providing the front-office faster time to market for new products.  Due to the ability to run continuous validation, trading and risk departments can have better transparency into model suitability for market conditions. 

  • Regulatory Ready
    Standardized reporting assists firms in meeting key regulatory requirements as part of model risk management directives as per the Basel Committee on Banking Supervision directive 21 and Solvency II, financial institutions. 

  • Standardized
    Any validation test can be serialized and exported into a self-contained Numerix XML file that captures all model inputs, including terms and conditions, market data, model choice and calibration assumptions, calendars for audit purposes. 

Partners
Case studies
Banque Internationale a Luxembourg Model...
Belfius Bank Model Validation Case Study
OTP Bank CrossAsset/Model Validation Case Study
Swedbank CrossAsset/Model Validation Case Study
Additional Resources
In The News
Numerix Adds Automated Model Validation Software
Press Release
Numerix and MathWorks Deliver Advanced Functionality
On-Demand Webinar
Model Validation Solution Seminar | Model Risk & Performance
Written Blog
Model Validation: Risk Management’s First Line of Defense
Written Blog
Model Validation: The ‘Holy Grail’ for Risk Mitigation?
Video Blog
Pricing Model Validation: Regulation & Best Practices

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