Validation
Within Basel II, Volterra have reviewed and validated rating systems for a number of lenders. We draw on our wide statistical, Basel and economic and Basel experience. Our approach broadly consists of:
- Studying the appropriate internal documentation and relevant data
- Liaising with key personnel to gain a full background picture of the rating system
- Reviewing the overall framework, specifically considering regulatory compliance
- Reviewing, at the model level, the assumptions, form, discriminatory power and results of modelling
Finally, we provide the opportunity for feedback on our documentation before agreeing the final deliverable report. Any recommendations are explained and discussed fully with the client, as well as management actions in response to our recommendations.