DCG provides best-in-class DFAST (CCAR) model validations to financial institutions.
DCG provides comprehensive DFAST (CCAR) Credit Stress-Testing Model Validations to financial institutions. As part of this comprehensive service, we provide an independent evaluation of the statistical approaches employed to project credit losses for the Federal Reserve macroeconomic scenarios along with any additional bank-specific scenarios simulated. In addition, we provide confidence that the identified risk algorithms are being appropriately applied and credit losses are being properly captured and reflected within the stress-testing framework.
Our experience in this validation space gives us a substantive horizontal viewpoint of the relative success of in-house and outsourced statistical methods employed and the variety of approaches to model architecture, systems integration, documentation, reporting, governance and processes and controls. It is because of this horizontal perspective that so many larger financial institutions rely on DCG for advice and independent review. The models and sub-modeling processes we cover include:
- Credit risk rating (scoring) models
- Bottom-up and top-down credit loss models (loans and investments)
- Pre-Provision Net Revenue (PPNR) modeling
- ALM model integration
- Aggregator model/reporting
- Governance and controls (developmental evidence, documentation, etc.)
DFAST (CCAR) Challenger and Champion Models
With DCG’s in-house credit modeling expertise, we can produce challenger loss models for Chief Risk Officers, Enterprise Risk Officers, internal model risk management (MRM) and internal audit departments to compare with primary (champion) loss models. Challenger loss models assist MRM and internal auditors with evaluating the reasonableness of primary model output and provide an example of loss model technical documentation.
Capital Model Validations
DCG also provides comprehensive Capital Model Validations. We provide an independent evaluation of the mathematical approaches employed to project in economic and regulatory capital and capital at risk exercises. DCG is equipped to evaluate any models providing input into a capital model including credit stress-testing models and operational risk models.
Consulting and Education
Not a “DFAST institution” yet or did you just become one? Looking for guidance and insight around risk quantification, data sourcing, model architecture, statistical and analytical approaches, technology requirements, assumptions, governance, documentation, reporting, current regulatory expectations, strategic use, executive and Board roles and how to establish effective challenge? DCG can help you make sense of it all and quickly learn from others’ mistakes. DCG’s education and consulting can inform executives, Boards of Directors, modelers, model risk management practitioners and internal auditors covering all aspects of the credit stress-testing process.
Where’s ERM Heading? To find out, read DCG Managing Director Drew Boecher’s article.
About DCG’s DFAST Validation Team
DCG’s team of DFAST (CCAR) experts is comprised of a select group of highly experienced quantitative risk management model developers and validators, data management and documentation specialists, former examiners and governance experts and model risk management professionals. Collectively, this team represents an abundance of knowledge and experience.