Model Risk Management
Since the introduction of financial models model risk has been an integral part of the financial services industry, leading to the emergence of sizeable teams, dedicated to model validation, across all major banks over the last few decades.
Key Project Experience
- Our MRM compliance check is a popular and well-established service offering. A G-SIB, with headquarters in London, commissioned a review into its SR 11-7 compliance. The review focused on their complex economic capital system used globally for pricing and capital attribution. The result of our compliance check was a comprehensive report identifying the gaps and required changes.
- Regulatory requirements on the organizational set-up of model development and model validation units caused a German D-SIB to engage us to prepare a preliminary study. In this study we defined model risk management processes both for individual models and across models. In addition, minimum requirements were defined for aspects such as the scope, frequency and documentation of model validations.
C: Dr. Andreas Peter