Second Pillar Consulting applies expert knowledge about risk, regulatory requirements, econometric theory, quantitative techniques, and internal controls to model development and model validations. Each of these skills is essential to ensure your models are robust and serve their intended purpose. Second Pillar Consulting has experience in model development and model validations for a wide range of model types for some of the largest banks, financial institutions, and rating agencies in the country.
Our Expertise & Experience
Anti-Money Laundering & OFAC – We have experience validating a number of industry wide solutions including patriot officer, Banker’s toolbox, and NetReveal.
CECL Modeling – We can provide CECL modeling development services using our proprietary CECL solution (Ionic ACL) as well as validation services to ensure your models and CECL framework are robust and compliant.
Dodd-Frank Act Stress Testing (DFAST) & CCAR – Our extensive experience in DFAST and CCAR has allowed us to create a robust validation framework to perform thorough reviews of your models efficiently and affordably.
Credit Risk Rating – We can provide both model development and validation services incorporating both econometric and machine learning techniques to ensure your credit risk rating system is performing as intended.
Credit Default (Loss) Models & Loss Given Default (LGD) – We can conduct validations and development of your PD and LGD models leveraging our multidecade experience in different modeling techniques and platforms.
Pre-Provision Net Revenue (PPNR) – We can validate and develop PPNR models.
Capital Allocation Models – We have years of experience in building and validating these models to help you assess capital adequacy and appropriate dividend payment levels.
Artificial Intelligence/ Machine Learning Models – We have experience developing and validating AI/ML models in a variety of topic areas including credit and AML. AI and ML can be powerful tools used to unlock new insights and improve existing processes. However, our experts and tailored approach will ensure these tools perform as intended and compliant with regulatory requirements.
Fair Lending Models – We have experience developing and validating models used to identify disparate impact/treatment in lending practices for compliance with the Fair Housing Act and Equal Credit Opportunity Act.
Liquidity Models – We can validate liquidity models including contingent funding planning.
Interest Rate Models (various types of Term Structures) – Our consultants are experts at interest rate risk modeling having published academic papers on the topic and building models for calibration.
Operational Risk – Our experts have experience in constructing and validating numerous operational risk methodologies as well as working on the input data.
Proprietary Trading & Option Models – We have worked with international investment banks in validating numerous types of trading models and have built and validated models for regional banks and electronic trading platforms.