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?
CDO / MBS – 2007 subprime mortgage crisis. Impacts: one of the main cause and source of losses in the 2007 financial crisis. As-of Sept. 2008, bank write-downs and losses totaled $523bn. What happened ? Rating agencies had provided a AAA rating to a significant portion of securities backed by pools of loans including a significant proportion ...
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