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Model Risk

The rising cost, complexity and regulatory burden of managing a model portfolio is increasingly prompting financial institutions to think more broadly about how they manage model risk: the risk of financial or reputational damage due to errors in model development, implementation or use.

Regulators are increasingly asking firms how they are managing model risks in ICAAP reviews, with the ECB in particular focused on model reviews as part of TRIM, and persistent regulatory scrutiny over market risk, credit risk and stress testing models.

Risk managers are tackling an ever-growing list of model remediation issues to satisfy internal model governance requirements.

Firms are increasingly trying to manage the cost and complexity of their growing model portfolios, to optimise institutional control.

Business lines are demanding ‘next-generation’ models, to compete with new entrants and achieve new business goals.

OFFERINg

  • Model risk management advisory and consulting services, to design and implement model risk frameworks;
  • Model governance documentation services, to deliver policies, procedures, report templates, and controls;
  • Model management tooling, to design workflow, inventory management and self-assessment tools; including Advanced model risk management tools, including an inventory system and workflow management (MLAS);
  • Model risk methodology development, through scorecard design, development, and rollout; and
  • Model remediation services, to address legacy issues, manage TRIM deliverables, and optimise issue management.

RELATED CONTENT

  • Model Risk White Paper
  • Model Risk Videos

RELATED CASE STUDY

  • Case Study - Model Risk Management

RELATED CONTENTS

08.02.2018 / London

Event

Model Risk Event

On Thursday 8 February 2018, Avantage Reply will host a Model Risk Management event in our offices at 38 Grosvenor Gardens. The event provides participants an opportunity to better understand the evolving regulatory requirements and discuss the industry approaches.

Stress Testing

Stress testing has long been a risk management tool used by banks to gauge their resilience to adverse or unexpected economic circumstances. As the extent, nature, complexity and timescales of stress testing becomes more demanding for banks, challenges have emerged including data quality, model suitability, control and governance; reporting and process efficiency. Avantage Reply has extensive experience working with financial institutions in all of these aspects of stress testing.

Blockchain

Financial services are by far the most advanced industry in terms of Blockchain exploration with both independent and consortium initiatives. Financial players are mainly focused on evaluating possible impact of Blockchain paradigm on payments circuits, capital markets processes, risk management activities and credit services.

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