"To the extent that models are used to generate amounts included in public financial statements, any
adjustments for
model uncertainty must comply with generally accepted accounting principles" (SR 11-7, 2011).
Keywords: active management of model risk, independent model validation approach, effective model risk management, quantitative decision-making tools,
business transformation model, model management practices, model risk management,
statement of purpose,
definition of model,
sensitivity analysis,
model governance, model inventory,
model risk, weak challenge,
models, European standards, US Guidance
Português:
modelo
Patel, Anand. Model governance and model risk. Models are increasingly being used in different areas of banks. Risk management models and pricing models for financial instruments come to mind first. However, the scope of modelling and linked processes (such as algorithms and Artificial Intelligence) is fast expanding and should also be considered. This article argues that the increasing reliance on models requires a sound model governance and
model risk management framework for business reasons as well as to comply with supervisory requirements such as the ECB TRIM Guide. Available from <
https://home.kpmg/xx/en/home/insights/2018/04/model-governance-and-model-risk-fs.html >. access on 4 January
2023.
US Guidance on
Model Risk Management (SR 11-7). Board of Governors of the Federal Reserve System, Office of the Comptroller of the Currency, 4 April 2011. Available from <
http://www.ilanet.com.br/portal/pub/Express/Model/sr1107a1.pdf >. access on 5 January
2023.
--
GregorioIvanoff - 14 Mar 2021
to top