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.

Lees verder >>

Wil je dit nieuwsbericht verder delen?


Transistorstraat 7
1322 CJ Almere

Postbus 60184
1320 AE Almere

Tel: 036 - 7440 136

KvK 32090652
ING Bank NL91INGB065.42.67.456
BTW NL.8106.57.041.B01

Wie we zijn is onderdeel van het platform van CareerGuide, 25 vacaturebanken voor specialisten!
Onze vacaturebanken (geen bemiddeling) bieden professionals relevante vacatures binnen hun expertise.

Ook een vacature plaatsen? Neem contact met ons op:

Nienke Smit   Pieter Lammers
Nienke Smit
  Pieter Lammers
Linkedin    Twitter    Contact met Nienke Smit via WhatsApp   Linkedin    Twitter    Contact met Pieter Lammers via WhatsApp