Model Calibration


Banks, and other financial institutions, build and maintain a vast landscape of models and their supporting infrastructure. Probabilities for hundreds of different event types flow through the veins of the risk function to support other parts of the bank.

Like all precision instruments, however, these models drift over time, losing accuracy and power. Recalibration is therefore an essential, ongoing requirement and recent events have increased both the complexity and urgency of this task.

Radius has deep expertise in calibration methodologies and technologies. We offer these capabilities through consulting engagements, managed services and modelling platforms.

Risk is in motion.

Banks are caught in a crossfire between several, big-picture forces that collectively threaten stability and profitability. Unsurprisingly, these complex dynamics are seriously complicating the task of building and maintaining models.

Given the strategic nature of these pressures; the existing high demands on modelling teams; and the scarcity of high-quality modellers … it’s possible that model calibration isn’t top of the list right now.

However, aside from the intrinsic value of having well-calibrated models, there’s at least one other factor to consider: regulators are alert to poor calibration and its connection to capital shortfalls.

Calibration Resolved

Radius understand that banks have a range of calibration-related challenges,
and hence we have configured ourselves to engage in a number of different ways:

Managed Services

Full spectrum, medium-/long-term management and hosting of calibration solutions, including documentation, query/audit support, monitoring, alerts, periodic validation (to any desired schedule), and methodological recommendations.

Multiple packages available with configurable attributes and varying levels of integration. This service logically begins with a solution build (i.e. a recalibration), but we would also support the implementation and management of an existing solution.

SaaS Platform

Advanced, multi-stakeholder workflow system for high-end regulated modelling based on a flexible, transparent, human-in-the-loop architecture. Through its highly ergonomic, No Code interface, the platform radically compresses all aspects of the development cycle and supports perfect reproducibility of modelling artefacts.

Currently in testing. Available in 2024.