Model Validation Toolkit

Kidbrooke’s OutRank Scenario Validation Toolkit is a software as a service (SaaS) solution that enables financial institutions as well as other industries to conduct in-depth independent reviews of their scenario engines. Our extensive background in the risk and technology domain provides us the expertise to build an affordable world class solution with leading performance scalability.

We design and perform an annual review of your models’ statistical properties, aimed at monitoring and minimising the risk for model deficiency. The toolbox includes the following validation components:

Benchmarking of :
  • Marginal distributions
  • Dependency structure
  • House views
Tests can be applied on :
  • ESG Scenarios
  • Model portfolios
  • Actual portfolios

Case studies

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The second part of the “Portfolio Construction”-series explores whether introducing parameter uncertainty to the model would improve the out-of-sample performance of the optimal portfolio. Additionally, the article proposes and tests two adjustments to regular utility optimisation.

The rapid evolution of computational technologies has enabled businesses to leverage machine learning methods to tackle challenging, labour-intensive tasks involving various degrees of judgement and decision making. Financial markets are no exception. In this article we present the case of using our AI-driven solution to tackle a common challenge in finance – the fair value measurement of illiquid financial instruments.

The modern wealth management industry still relies on the 50-year-old approaches to portfolio management, widely popularized by Markowitz's Modern Portfolio Theory (1952). Despite heavy criticism within the academic circles, the alternative methods remain undeservingly overlooked in practice. In the context of the modern leap for hyper-customization, we look into one of the alternatives to Modern Portfolio Theory in greater detail - the Utility-based approach.

Easy to Deploy

Kidbrooke’s model validation toolkit ships with Kidbrooke’s Economic Scenario Generator, enabling the customer to regularly check whether the scenarios driving their offerings are in line with our independent benchmarks.

High Level of Customisation

Kidbrooke provides an opportunity to calibrate risk factors to customer-specific data and an ability to adjust the standard calibration of our economic scenario generator to align it with your respective house views. This can be delivered by us, through Kidbrooke’s managed services or by yourself, through a customer self-service toolkit.

OutRank Economic Scenario Generator 

The OutRank Model Validation Toolkit can be easily integrated into our customers’ systems via our API. Alternatively, customers may access the generated reports and supporting analytics through Kidbrooke’s Software as a Service solution.

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