Skipton Building Society appoints Jaywing for independent validation of business-critical regulatory models

Credit risk analytics experts, Jaywing, has been appointed by Skipton Building Society as their independent model validation partner.

The partnership began with Jaywing’s validation of Skipton’s IFRS 9 models in September 2019. Having demonstrated its modelling and regulatory expertise through this initial project, Jaywing was then commissioned to extend its work with the validation of the IRB models (including slotting) under the new PRA and EBA regulation, the definition of default and a balance forecast model.

The increasing role of modelling in regulation and decisioning in Financial Services means ever-expanding model infrastructure, underpinned by more sophisticated models. With mounting workloads, a scarcity of experienced personnel and the requirement to demonstrate separation in the lines of defence, firms are increasingly looking to external experts for trusted long-term risk model validation. Recent focus from the regulator and raised awareness of the consequences mean the stakes in managing model risk have never been higher.

Having chosen Jaywing, Skipton Building Society can achieve a greater level of independent model assurance ensuring models are fit for purpose whilst adhering to regulatory requirements.

Gareth Pilkington at Skipton Building Society, commented: “It was imperative that we selected a consultancy with the depth and breadth of technical modelling expertise, a comprehensive knowledge of the regulation and a reputation for rigour with the regulators. Jaywing exemplified these attributes from the very beginning of our partnership and were proactive in aligning to our governance practices. Jaywing has exceeded our expectations having fulfilled our model validation requirements and contributed to the continuous improvement of our models. We look forward to working with them on future model validation projects.”

Nevan McBride, Risk Practice Director, Jaywing, added: “We are delighted to add Skipton Building Society to our long list of model validation partners. We have some of the most talented technical modellers in the UK and through our extensive industry experience have an encyclopaedic knowledge of the IFRS 9, ICAAP and IRB regulation – including recent PRA and EBA regulatory changes. We are excited to be supporting Skipton to fulfil its independent model validation requirements to achieve compliance and maximise the benefits for its members.”

Jaywing has gained extensive experience in credit risk analytics over the last 20 years, helping many lenders including Nationwide, RBS, Secure Trust Bank and Paragon Bank with IFRS 9, IRB, ICAAP, scoring, pricing and a variety of other risk requirements.