Howard Haughton- The application of model driven engineering for validating financial models

Howard Haughton, Holistic Risk Solutions Ltd/King’s College London
ABSTRACT – The application of model driven engineering for validating financial models
Financial models are mathematical models representing the concepts underlying financial processes such as valuation and risk estimation. Validation of such models is viewed as an essential activity by banking and other financial regulatory authorities. Regulators require institutions to periodically validate financial models to ensure they are operating as intended. In our view, concepts from model driven engineering (MDE) could be employed to support the model definition and validation process. In this paper, we describe a novel domain-specific language (DSL) for expressing financial models, and associated tools for analysing these models and for transitioning to an executable implementation which is correct-by-construction with respect to the models