Asset Management: Vendor Model Validation

Problem Statement

The client needed to validate vendor models used by different business units for price/yield analysis on Mortgage-Backed Securities (MBS)

Solution Approach

Solytics validated the models in line with SR 11-7 guidelines and industry best practices:

1. Conducted an extensive review of the models including both qualitative and quantitative validation.

2. Performed model backtesting, model benchmarking, code testing, assumption testing, stability testing, scenario analysis, and sensitivity analysis as part of the quantitative review.

3. Performed thorough qualitative review with focus on regulatory compliance, governance & control, data quality review, model performance monitoring, and model reporting.

4. Engaged with various stakeholders for regular interactions and feedback.

Client Impact

- Raised over 75 corrective action items across 18 validated models.

- Provided possible solutions for each corrective action item.

- Ensured regulatory compliance and validated all business unit models.