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Vacatures in Institutioneel Vermogensbeheer

Quantification of model risk

Bron: Article Marie Gotthardt and Jakub Piotrowski, Zanders - 05 februari 2019

Risk management and treasury specialists are using diverse models on a daily basis to manage various risks. It is easy to forget about the risk that is implied in using the model itself. What we refer to as ‘model risk’ can arise due to misuse of the model, incorrect model choices or inappropriate model use.

In the US, the Supervisory Guidance on Model Risk Management (SR 11-07) was published in a joint effort by the Federal Reserve System and the Office of Comptroller of the Currency (OCC) in 2011. Since then, attention to proper model risk management has been steadily increasing.

Following SR 11-07, US banks are obliged to maintain a model inventory, to create risk governance policies and to conduct periodic model reviews. Although not touched by this regulation, insurers and EU banks are also increasing their focus in this area. But there is one question many are struggling with: how to quantify the model risk? The answer is simple: it’s impossible to do this with 100 per cent certainty. Nevertheless, there are several techniques that allow us to quantify model risk and determine if our model is suitable for current use.

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