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Model Building Blocks  
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Model Architecture
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Model Testing
 
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Stress Testing Scenarios  
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Model Management Framework

MODEL MANAGEMENT FRAMEWORK

Main challenges faced by our clients.

  • Ensuring your model management / governance control framework covers the complete spectrum of risks potentially leading to over/underestimation of risk by the models due to uncertainties embedded in the model itself (i.e. the way it has been designed), or created during implementation (the way it has been deployed)
  • Whilst the first one (inherent model risk) can be significantly reduced through proper validation, it cannot be totally eliminated; however, the last two components can be (almost) fully mitigated

Solutions we deploy to address them.

Assessment of Independent Review (Validation) and Model Risk Management Frameworks

  • Review the framework for Independent Review of risk models including existing policies, procedures, guidelines and governance; special focus on model applicability conditions and limitations assessment (use test)

  • Review of Model Management framework (lifecycle, governance, documentation template, use policies and usage guidelines)

  • Review of Model Risk assessment framework and its link with the risk appetite (as a driver to decide on applicability / use of models)

Implementation and improvement of Independent Review (Validation) and Model Risk Management Frameworks

  • Implementation of Independent Review (Validation) frameworks

  • Definition and establishment Model Risk Management framework

  • Implementation and improvement of Model Management and Model Governance framework (from origination to development, production and monitoring)

 

Stakeholders

• Chief Executive Officer
• Chief Risk Officer
• Chief Financial Officer



  describe the image Financial Risks
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  Risk Appetite
 
Stress Testing

 

Enterprise Risk Management