Our team is experienced with all major CECL methodologies, including:
Weighted Average Remaining Maturity (WARM)
Probability of Default / Loss Given Default (PD/LGD)
Discounted Cash Flow (DCF)
Vintage Analysis
Static Historical Loss Rate
We conduct comprehensive, end-to-end validations covering all critical components and assumptions of your CECL framework, including:
Portfolio Segmentation and Pooling Logic
We evaluate whether loan segmentation is appropriate and consistent with shared credit risk characteristics, including reviews of risk rating hierarchies, product types, vintage, geography, and other drivers of expected loss.
Forecasting and Reversion Techniques
We assess the methodology and support for the reasonable and supportable forecast period, the reversion approach (e.g., immediate vs. straight-line), and the appropriateness of the macroeconomic variables used in forecasting.
Behavioral Assumptions
Our reviews include prepayment and curtailment assumptions, contractual cash flows, and amortization schedules to ensure that model calculations properly reflect the timing and volume of expected credit losses.
Qualitative Adjustment Factors (Q-Factors)
We examine the framework and documentation supporting management judgment overlays, including alignment with the Interagency FAQs, historical backtesting, and internal controls around the adjustment process.
Model Documentation & Governance
We evaluate the clarity, completeness, and consistency of model documentation and internal governance structures, including model development rationale, validation history, change control, and model owner responsibilities.
Vendor Model Experience
ValuRisk Partners has worked extensively with the industry’s leading CECL model platforms, including, but not limited to:
Abrigo Sageworks
Invictus Group
nCino
Primatics EVOLV
Moody’s ImpairmentStudio
Models developed in platforms such as Python, R and SAS
As well as many other in-house or third-party solutions.
