Validation of risk measurement

A validation framework based on the regulatory requirements specifies the modalities for validating the methods and procedures defined for the measurement of material risk types in Rentenbank’s Internal Capital Adequacy Assessment Process (ICAAP) and Internal Liquidity Adequacy Assessment Process (ILAAP).

The methods and procedures are validated at least once a year. The separation between method development and validation is ensured by organisational segregation. The objective of the validation process is to critically review the quality of the risk measurement methods and models employed, as well as the corresponding parameters and assumptions, on the basis of quantitative and qualitative analysis. The assessment is based on a defined methodology. The validation results are discussed by the Risk Committee.