Transcription of Model Risk Management - Deloitte
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Model Risk Management - Deloitte
Model Risk ManagementDriving the value in modellingApril 2017, Risk Advisory 2017 Deloitte Conseil2 AgendaCONTEXT 1 APPENDIX 6 CONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALS 2017 Deloitte Conseil3 Part 1 ContextCONTEXTMRM CONTENTSDELOITTE MRM OFFERCONTACTSAPPENDIXCREDENTIALS 2017 Deloitte Conseil4 CONTEXTMRM 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?Thebank sChiefInvestmentOfficerwasresponsiblefor investingexcessbankdepositsinalow-riskma nner. Tohedgeagainstpossibledownturnsintheecon omy,theCIOboughtsyntheticCDSderivatives. Initiallyintendedasanhedgingstrategy,thi sportfoliobecamea speculativesourceofprofitandincreasedfro m$4bnin2010to$ , modelriskinvolved?
Defines Model Risk (Art. 3.1.11) and the process by which the Competent Authorities should assess how the institutions . manage and implement policies and processes to evaluate the exposure to Model Risk as part of the Operational Risk (Art. 85). The ‘ Guidelines on common procedures and methodologies for the supervisory review and evaluation ...
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