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.
Market risk regulatory pre -crisis models. Impacts: the VaR metrics used before the outburst of the financial crisis did not adequately capture tail-risk events, credit risk events as well as market illiquidity. What happened ? When the financial crisis arose, essentially driven by …
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