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

Automated Testing

 

Tests for implementation and financial correctness

Model Benchmarking

 

Users can swap models, calibration methods, calibration instruments, pricing methods and interpolation methods. Once a deal type has been structured for one model, it is then price-able in all models, with all methods. Thus, a model may be validated by comparing it to a large collection of Numerix market standard models, to see how it’s pricing compares to each one of those models, and to the group as a whole. 

Stress Testing of Models

 

Numerix bump functionality allows the user to customize as many market scenario “bumps” as desired, which can then be applied to any market scenario from history. Models are then stressed with either a standardized or randomized set of bumps applied to various scenarios taken from historical data. 

Test of Model by Instrument Decomposition

  Because Numerix separates the model from the payoff and the method, a Numerix model may be further explored by using the same model to remove features from the instrument—some or all of the call or put dates, a barrier, or a digital feature such as a range accrual. These features are often subject to errors of numerical implementation, and these types of errors they may be rapidly be tracked down by the decomposition that the Numerix architecture allows. 
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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