What We Do
ModVal.org is an online resource for model validation maintained by CompatibL. ModVal.org is free of charge, but requires online registration.
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Register to use Modval.org and get access to annotated tests in our extensive collection of financial models and calculations.
Utilize Modval.org’s source code to work on validating your models, use your inputs to visualize data, create plots, and trace the impact of calculation method choices.
Contribute to ModVal.org
ModVal.org releases source code for the purpose of fostering collaboration between trading desk and risk management practitioners, industry experts, and academic researchers working in the field of Quantitative Finance and Risk Management.
Reproduce and review every step of the calculations from the latest research papers, including “Rethinking Margin Period of Risk” by Leif Andersen, Michael Pykhtin, and Alexander Sokol.