Validation of risk measurement

A validation framework aligned with regulatory requirements defines the modalities for validating the methods and procedures used to measure the material risk types in Rentenbank’s ICAAP and ILAAP.

The methods and procedures are validated at least annually, with independence between method development and validation ensured through an organisational separation. The aim of validation is to critically review, on the basis of quantitative and qualitative analyses, the quality of the methods or models used for risk measurement, as well as their parameters and assumptions. The assessment is performed in accordance with a defined methodology. The validation results are discussed in the Risk Committee.