Consultancy in the field of model risk and ECL

• Audit or support for the internal audit unit of the Bank in examining the EC model;
• Audit/optimization of the model risk management process and compliance with Recommendation W requirements;
• Audit and validation of the forecast model for stable deposit levels in liquidity risk management processes;
• Validation or verification of credit risk scoring and rating models;
• Audit of credit risk scoring and rating models;
• Training in the model risk management process.

Periodic consulting or execution:

• Estimation of the ECL model and results;
• Credit risk scoring and rating models;
• Model risk management process;
• Measurement of significant model risks and aggregated risks.

• Preparation and verification of valuations of financial instruments;
• Assessment of the correctness and quality of valuation models;
• Documentation development, efficiency testing, and implementation of hedge accounting;
• Valuation of managerial options and incentive programs according to IFRS 2;
• Validation of derivative instrument valuation models.

• Determination of reserves for employee benefits;
• Independent validation of technical insurance reserves and solvency capital requirements;
• Improvement of processes for calculating technical insurance reserves and solvency capital requirements.