Model Validation & ALCO Process Reviews

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Comprehensive Model Validation, Audit and Review services to improve your overall balance sheet management process.

ALM Model Validation

Validating the ALM model and modeling process should be more than just a risk management audit. It should be about ensuring your model is reliable, accurate and conducive to effective balance sheet risk management. We examine everything from data use, to model setup, to the development of key assumptions, to how the model is utilized to inform your ALCO and facilitate effective decision-making. The scope of this service is designed to meet and exceed regulatory requirements including OCC-2011-12.

ALCO Process Reviews

As an extension of our ALM Model Validation Service, we can broaden our review and include a comprehensive evaluation of your ALCO reporting and ALCO-related policies (interest rate risk, liquidity and funds management, investments, derivatives, etc.). How your overall risk profile is communicated to your ALCO and board can greatly influence your organization’s ability to assess risk, proactively formulate strategies and take action.

DFAST/Credit Stress-Test Model Validation

DCG provides comprehensive end-to-end credit stress-testing (DFAST/CCAR) model validations. We provide an independent evaluation of the mathematical and statistical approaches employed to project credit losses in the three Federal Reserve-defined macroeconomic scenarios (and any additional bank-specific scenarios). In addition, we validate PPNR (Pre-Provision Net Revenue) forecasting efforts including ALLL, ALM model integration, governance and controls and model documentation.

Independent Control Model Development and Analysis

When called upon to develop a full benchmarking model, DCG has the technology, resources and expertise needed to build an independent control model. This service provides the ultimate level of validation and can help to quantify the impact of any data, modeling or assumption errors.

What Makes Us Different?

Our Risk Management Analytics & Validations Department is comprised of some of the industry’s leading experts in financial risk modeling and model management. Our team’s strong backgrounds in banking, finance, accounting, treasury, regulatory and auditing – combined with their many years of active involvement in the development and management of thousands of ALM models over their careers – bring together a level of expertise and perspective no other organization can provide.

DCG continues to set new standards for maintaining a best practices approach to ALM modeling and balance sheet management. It is our ability to bring meaningful recommendations and innovative ideas to the table year after year that fosters the long-term relationships we have with our clients.