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on model validation: where?

where does validation take place?

onsite

similar to Internal Audit and regulatory reviews, model validation “best practices” include onsite procedures
interview staff
- analyze model implementations
- review processes
- examine internal documentation
the ALMnetwork has made site visits to leading outsourced ALM providers to enable cost-effective model validations

offsite

extensive data analysis
client system, ALCO& Board report review
report writing and editing

web

via GoToMeeting or similar tools, detailed model reviews an be accomplished over the web via screen sharing
useful for follow up to onsite visits or repeat validation assignments

real world solutions >

real time ALCO reporting? Over the past few years, there have been days with historically high interest rate volatility. After several such days, the management of Sample Bank believed their annual budget was no longer accurate.

Working with the ALMnetwork, Sample Bank produced forecasts based on rates “as of” the prior days’ close. While not exactly “real-time” reporting, next day reporting was useful to the management of Sample Bank in comprehending their new earnings position, formulating new tactics and strategies, and fine-tuning their pricing.