Broaden your reach on model risk, quants told

Three banks say their model inventories are “a work in progress”

Molecular structure
Definitions of what constitutes a model are expanding

Model risk specialists must be prepared to take on far wider responsibilities as the definition of a model expands, conference delegates heard today.

Speaking at Quant Summit Europe in London, Mostafa Mostafavi, vice-president of risk and quantitative analysis at Credit Suisse, warned: “There are a lot of processes involved in calculating risk that have not previously been identified as models. These all need to be validated too – we need to look at that more carefully.”

Processes used for tra