Model Risk Management in Practice

Learn to implement an end-to-end Model Risk Management framework with a focus on governance and reporting to facilitate effective decision making.

Key Features

Develop an Industry Standardized Framework across Model Lifecycle Management
Design and build Model Risk Assessment Process
A detailed walkthrough of real-world case studies in setting up & managing model risk using SAS

Book DescriptionDue to the missing risk captured, the quality of reporting towards the Senior Executive / Management, responsible to take decisions for the firm, is negatively impacted. Existing books focus on issues related to the limitations of modeling techniques rather than issues related to end-to-end Model Life cycles across organizations.
This book helps to fill that gap by providing theory and practical insights on setting up a state-of-the-art model risk management (Including MRM Framework, Governance & Reporting Best Practices). The book begins by introducing the readers to model definition, identification usage, and its impact on a financial institution. The book then talks about the model risk management framework, its components, and requirements for model inventory. It then moves past to teach the readers about setting up model lifecycle management, model governance, validation, and assessment process.
By the end of this book, readers are expected to be able to understand how Model Risk Management Framework can help to manage the risk of using Financial Models.What you will learn

Define model criteria and identify them using decision tree approach
Understand the types of model risk and its regulatory implications
Identify and capture model risk sources
Implement various methodologies for qualitative/quantitative assessment
Formulate Model Risk Quantification Process
Develop Model Risk Report for effective decision making
Analyze model change, its triggers & gather monitoring requirements
Build Model Risk Management Framework for AI & ML models

Who this book is forIf you are a Financial model developer, model validator, model auditor, or senior executive who receives reports/advice based on Financial Models, this is the book for you. Even if you do not have prior Financial Model Developer / Validator experience, this book can help you to be a practitioner in Model Risk Management