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.
External Resources
Although model risk management is an internal process, a bank may decide to engage external resources to help execute certain activities related to the model risk management framework. These activities could include model validation and review, compliance functions, or other activities in support of internal audit. These resources may provide
added knowledge and another level of critical and effective challenge, which may improve the internal model development and risk management processes. However, this potential benefit should be weighed against the added costs for such resources and the
added time that external parties require to understand internal data, systems, and other
relevant bank-specific circumstances.
Whenever external resources are used, the bank should specify the activities to be conducted in a clearly written and agreed-upon scope of work. A designated internal party from the bank should be able to understand and evaluate the results of validation
and risk-control activities conducted by external resources. The internal party is
responsible for: verifying that the agreed upon scope of work has been completed;
evaluating and tracking identified issues and ensuring they are addressed; and making
sure that completed work is incorporated into the bank's overall model risk management framework. If the external resources are only utilized to do a portion of validation or compliance work, the bank should coordinate internal resources to complete the full range of work needed. The bank should have a contingency plan in case an external resource is no longer available or is unsatisfactory.
Keywords:
machine learning models,
responsibility in models,
risk in analytics
Português:
gerenciamento de risco de modelo
[1 December 2023, publication on the personal timelines of Gregorio Bittar Ivanoff (LinkedIn and Facebook), in the groups Models in business (LinkedIn and Facebook) and in the LinkedIn groups Project management, Business analytics models, Balanced scorecard, Business in promotion]
Year 2023 ending, December, January and February break starting, agendas and plans for production and results in 2024 begining.
Thank you for your participation and interaction in the Models in Business groups (LinkedIn and Facebook).
The issue of responsibility for models, for example, in the financial area, emerged in the groups as a possible interest in the design of a "pre-report" for 2023. The tentative questionnaire presented below is produced with the aim of characterizing responsibility for the process of making models available.
- Is there a definition and description of the purpose of models and their audience?
- Can employees, stakeholders and interested parties be classified into groups? In addition to positions and functions, is it possible to identify sets of {professional categories, hierarchical levels and departments} of individuals?
- Are the models represented in strategic maps? Are structures (internal, external) and competencies associated with the models? If so, are measures and indicators of growth/renewal, efficiency or stability available?
- In the case of grouping by competence, are only professionals evaluated, whose work must be estimated according to the type of activity, degree of responsibility or area of activity?
- In the case of grouping according to internal structures, are only support staff evaluated? When grouping according to external structures, is the time that employees dedicate to maintaining, establishing and developing relationships with customers evaluated?
- Are customers classified based on qualities such as image, learning and references? And the profitability they offer?
Sveiby, Karl Erik. The new organizational wealth: Managing & measuring knowledge-based assets. Berrett-Koehler Publishers, 1997.
https://www.linkedin.com/groups/2034616/
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GregorioIvanoff - 18 Jan 2023
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