The disputed terrain of model risk scoring

There is no concord on how banks should police their model risk. But two Fed economists have an idea

As banks lean ever more heavily on models – for pricing, risk, capital and other vitals – their boards are demanding a clear view of exactly how much risk those models entail, and how they may be abetting or denting the bank’s financial position. But there is no clear path on how to deliver that.

“We all have different techniques,” says the head of model risk management at a US G-Sib. “Everybody is not using the same approach, but everyone has an approach.”

Into this wilderness have stepped

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here