Recent years have seen a quiet but significant shift in the way many major banks address model risk. Previously, many bank models were not subject to a rigorous, centralised model risk framework. A handful of model validators would validate and approve models, sometimes without questioning what they were actually being used for.
In practice, this gave a lot of freedom to users of models – and in particular, traders – to dictate those models' parameters and how they were used. Now, this freedom i
The week on Risk.net, September 8-14, 2018Receive this by email