Model Risk Management - Deloitte
Model Risk ManagementDriving the value in modellingApril 2017, Risk Advisory 2017 Deloitte Conseil2AgendaCONTEXT 1APPENDIX 6CONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALS 2017 Deloitte Conseil3Part 1 ContextCONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALS 2017 Deloitte Conseil4CONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALSHow important is Model risk ? Model risk may be particularly high, especially under stressed conditions or combined with other interrelated trigger Morgan The London WhaleImpacts:thebankmadelossesof 6bnandwasfined 1bnWhathappened?
The fund had followed an arbitrage investment strategy on bonds, involving hedging against a range of volatility in foreign currencies and bonds, based on complex models. How is model risk involved? Arbitrage margins are small and the fund took on leveraged positions to maintain or increase profits. At one point, the notional
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