ModVal.org
ModVal.org is a free, registration-gated online library providing annotated source code, raw data files, and test suites for validating quantitative finance models, including Margin Period of Risk (MPR), CVA exposure, and FRTB regulatory models, serving trading desk practitioners, risk managers, and academic researchers.
- Company typePrivate
- Founded2014
- HeadquartersPrinceton, United States
- Headcount101–250
- GTM typeB2B
- OfferingSoftware
What ModVal.org does
ModVal.org is an online reference resource for model validation in quantitative finance and risk management, operated under New York governing law and provided free of charge to registered users. The platform delivers source code, raw data files, and annotated tests for financial models used in regulatory and risk contexts, with a primary focus on Margin Period of Risk (MPR) models — including the Classical Pykhtin (2009) implementation and the advanced Andersen-Pykhtin-Sokol (2016) implementation with Classical+, Classical-, Aggressive, and Conservative calibration variants — alongside CVA exposure simulation tools and the Fundamental Review of the Trading Book (FRTB) regulatory stack covering SA-TB, BA-CVA, SA-CVA, and IMA-TB approaches. Functionally, users register online to access downloadable code and data, visualize calculation outputs, trace the impact of methodological choices, and reproduce published research step-by-step.
ModVal.org firmographics
Firmographics- Name
- ModVal.org
- Legal name
- ModVal.org
- Website
- https://modval.org
- Company type
- Private
- Founded year
- 2014
- Operating status
- Operating
- Headcount range
- 101–250 employees
- Short description
- ModVal.org is a free, registration-gated online library providing annotated source code, raw data files, and test suites for validating quantitative finance models, including Margin Period of Risk (MPR), CVA exposure, and FRTB regulatory models, serving trading desk practitioners, risk managers, and academic researchers.
- Ownership category
- akta.pro rank
ModVal.org industry classification
Industry- Product category
- Financial Risk Management Software
- akta.pro primary industry
- Prudential & Market Risk Management (VaR, Stress, Limits) (FSACAJAF)
Keywords
Where ModVal.org is headquartered
LocationHeadquarters
- HQ city
- Princeton
- HQ country
- United States
- HQ region
- North America
Markets served
ModVal.org business model
Business model- GTM type
- B2B
- Offering type
- Software
- Cost components
- Technology or R&D, Personnel, Operations, Infrastructure, Others
Revenue model
- Free Access Model: ModVal.org is provided free of charge. The platform is designed to foster collaboration between practitioners and researchers in quantitative finance. No revenue is generated from the service.
Pricing tiers
| Model | Billing | Price |
|---|---|---|
| Freemium | Annual | Free Access - Full Library Access |
Go-to-market motion1 record
Distribution channels1 record
Marketing channels3 records
ModVal.org product offering
Product offeringCore offering
ModVal.org provides free online access to source code, annotated tests, and raw data files for validating financial models used in quantitative finance and risk management. The core library covers Margin Period of Risk (MPR) models (Classical Pykhtin 2009/2010 and advanced Andersen-Pykhtin-Sokol 2016) and Fundamental Review of the Trading Book (FRTB) models including SA-TB, BA-CVA, SA-CVA, and IMA-TB. The platform supports visualization, plot creation, and reproduction of published academic research, with access gated by online registration.
Product overview
ModVal.org is a free online resource for internal model validation, providing a platform with multiple interconnected modules. The core offering is the ModVal.org Model Validation Library, which includes implementations of the Andersen-Pykhtin-Sokol (APS) advanced MPR model and the Classical MPR model as its primary modules, along with FRTB model documentation covering SA-TB, BA-CVA, SA-CVA, and IMA-TB approaches. All components include annotated source code, test cases, and data files for validating financial risk models.
Differentiator
Problem solved
Functional benefit
Products and services
- ModVal.org Model Validation Library An online resource providing free source code and annotated tests for validating financial models, particularly FRTB and Margin Period of Risk (MPR) models used in quantitative finance and risk management.
- Andersen-Pykhtin-Sokol (APS) MPR Model Implementation Implementation of the advanced MPR model presented in the paper 'Rethinking Margin Period of Risk' by Leif Andersen, Michael Pykhtin, and Alexander Sokol, featuring Classical+ and Classical- variants with aggressive and conservative calibrations.
- Classical MPR Model Implementation Implementation of the classical MPR model for collateralized credit exposure as presented by Pykhtin (2009), supporting Classical+ and Classical- variants.
- FRTB Model Documentation Documentation and source code for Fundamental Review of the Trading Book (FRTB) models including SA-TB, BA-CVA, SA-CVA, and IMA-TB approaches.
Quantifiable outcome
- Free model validation resources available for FRTB and CVA regulatory frameworks
Companies that use ModVal.org
Customer profileSegments3 records
Ideal customer profiles2 records
ModVal.org technology and API
TechnologyTechnology focussed Yes
API detail
- Has API
- No
- API docs
- API detail
Core technology
AI maturity
App detail
Feature5 records
ModVal.org partnerships and signals
Strategic signalScale indicators1 record
Recent moves6 records
Expansion highlights4 records
ModVal.org competitors and assessment
Company assessmentBroad incumbents
- Murex: Murex is a leading integrated trading, risk, and post-trade platform for capital markets, with FRTB/CVA modules that overlap with ModVal.org's coverage of regulatory capital market risk.
- Numerix: Numerix is an established provider of cross-asset derivatives pricing, risk, and CVA/XVA analytics used by global banks, broadly covering the same market-risk and counterparty-exposure space ModVal.org targets.
- Bloomberg: Bloomberg Terminal and Bloomberg's quantitative analytics functions serve risk managers and quants as a broad incumbent reference, intersecting with ModVal.org's practitioner audience for risk model work.
- Calypso Technology: Calypso provides a cross-asset capital markets platform including market risk, CVA, and collateral management, broadly comparable to ModVal.org's focus on trading-book risk model validation.
- MSCI RiskMetrics: MSCI's RiskMetrics suite provides market and credit risk analytics for institutional investors, operating as a broad incumbent in the same regulatory risk management category ModVal.org supports.
Direct peers
- FINCAD: FINCAD offers financial analytics and valuation software for derivatives, fixed income, and counterparty credit exposure — directly comparable to ModVal.org's model validation library for derivatives and CVA risk.
- OpenGamma: OpenGamma provides open-source and commercial derivatives analytics and risk management software, including margining and exposure simulation tools that closely parallel ModVal.org's MPR and CVA focus.
- QuantLib: QuantLib is an open-source quantitative finance library widely used by practitioners for derivatives pricing and risk modelling — directly comparable to ModVal.org's open, community-validated reference implementations.
Others
- SAS Risk: SAS provides enterprise risk analytics and stress-testing platforms widely adopted by banks, addressing similar regulatory risk modelling needs as ModVal.org's free reference library.
- AcadiaSoft: AcadiaSoft operates in collateral management and counterparty exposure workflows, closely adjacent to ModVal.org's MPR and CVA exposure modelling scope.
Market position
Strengths5 records
Weaknesses5 records
Competitive moat3 records
Key risks6 records
Key highlights6 records
Customer concentration
ModVal.org social profiles
Digital presenceModVal.org compliance and trust
Trust signalCompliance1 record
ModVal.org financial estimates
Financial estimateRevenue estimate
Valuation estimate
ModVal.org leadership team
Management profileNumber of profiles
ModVal.org funding detail
Funding detailFunding overview
Funding rounds
Investors
Funding detail is available on the Subscription and Enterprise plan.Contact sales →
ModVal.org M&A and investment
M&A and investmentM&A
Investments
M&A and investment is available on the Subscription and Enterprise plan.Contact sales →
Frequently asked questions about ModVal.org
What does ModVal.org do?
ModVal.org provides free online access to source code, annotated tests, and raw data files for validating financial models used in quantitative finance and risk management. The core library covers Margin Period of Risk (MPR) models (Classical Pykhtin 2009/2010 and advanced Andersen-Pykhtin-Sokol 2016) and Fundamental Review of the Trading Book (FRTB) models including SA-TB, BA-CVA, SA-CVA, and IMA-TB. The platform supports visualization, plot creation, and reproduction of published academic research, with access gated by online registration.
Is ModVal.org a public or private company?
ModVal.org is a private company. It is classified as unknown and is currently operating.
When was ModVal.org founded?
ModVal.org was founded in 2014. It employs 101 to 250 people.
Where is ModVal.org based?
ModVal.org is headquartered in Princeton, United States, in the North America region.
How does ModVal.org make money?
One revenue line is on record: free Access Model.
Who are ModVal.org's main competitors?
Broad incumbents on record are Murex, Numerix, Bloomberg, Calypso Technology and MSCI RiskMetrics. Direct peers are FINCAD, OpenGamma and QuantLib. Others are SAS Risk and AcadiaSoft.
Does ModVal.org have an API?
No public API is recorded for ModVal.org.
What industry is ModVal.org in?
ModVal.org's product category is Financial Risk Management Software. Its primary akta.pro industry code is FSACAJAF, Prudential & Market Risk Management (VaR, Stress, Limits).