The solution, which is part of the firm's CrossAsset Analytic Platform, is an automated testing environment for model risk quantification and model governance. Additionally, the firm's Quantitative Services group, with more than 60 PhD's is introducing new validation and reporting services.

Traditionally, model verification and validation has been a manual and laborious process. Model error has been categorized by many as the "sleeping giant" in risk departments, which was responsible for many casualties during the global financial crisis. As regulators and internal audit are placing greater emphasis on the performance and suitability of models, this area of risk management is quickly becoming a strategic priority for senior management.

To solve this problem, Numerix developed an extensive testing regime that certifies the mathematical and financial correctness of the models. What is truly ground breaking is the creation of an automated solution, Numerix Model Validation Studio, a software offering which eliminates the need for an error prone and slow manual process. With the solution, model risk groups have the ability to test model performance on a daily basis against real markets, with greater accuracy utilizing thousands of scenarios.

"Our DNA has been the development of pricing and risk models for over 15 years. To be as successful as we have been, we have invested heavily in providing our clients with the transparency and testing required to ensure that as they utilize our analytics for business critical functions, that they have the confidence in the performance our models," said Steven O'Hanlon, Chief Executive Officer & President of Numerix. "The introduction of our new automated testing suite, and model validation service is a natural extension of our offering, and provides all clients an added layer of confidence especially with their regulators."

Numerix Model Performance Reports and Validation Services

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In conjunction with the launch of the Model Validation Studio, Numerix is offering a new subscription service of model performance reports. The reports, published quarterly, provide in-depth testing of all standard Numerix models, and expert opinion as to model use and suitability of the models based on market conditions. These reports cover all key elements required from regulators and internal audit including model use parameters, limitations and extensive testing and analysis of results. For those institutions who require customized reporting on Numerix models or their own internal models, Numerix has broadened its Quantitative Services to offer bespoke validation services.