Progress and challenges in model risk management

Report - Dec 2018

Model risk is a relatively new focus area for risk management. In 2016, we conducted a small study into the topic, which showed that firms are at different stages of evolving practice. 

Following the renewed interest in the Analytics Working Group, we conducted a follow-up study to see how and in which areas the industry has advanced.

The report looks at the progress that has been made in the industry and identifies new areas of convergence, as well as the challenges that firms face today. 

The report is available to all ORX members to read and covers key aspects of model risk management for models that require regulatory approval, including:

• Data and definitions
• Quantification and capital
• Frameworks and governance
• Risk appetite and decision-making
• Common challenges