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
Português:
gerenciamento de risco de modelo
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GregorioIvanoff - 18 Jan 2023
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