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SAS ® FORUM PORTUGAL 2016 Bem Vindos
SAS® FORUM
PORTUGAL 2016
Bem Vindos
C o p y r i g h t © 2 01 5 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
Carles CerdàRisk & Finance
Business Solutions Manager
MODEL RISK MANAGEMENT
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
Decision
Support
WHAT IS A MODEL?
Input Processing Estimates
MODEL RISK
MANAGEMENT
Statistical Economic
Mathematical
Risk
ManagementBalance-Sheet
Stress-test
Business
Analysis
Quantitative
Qualitative
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MODEL RISK
MANAGEMENTMODEL’S LIFECYCLE
Model
Model Candidate
Assessment Model Inventory
Model Variables
Model Data Sources
Model Review and Validation
Model UsageModel
Performance Monitoring
Model Risk Assessment
Model Change Request
Model Inventory
Attestation
Model RetirementMRM
Correspondence
Policy
Management
Findings
Action Plans
MRM
Dashboard
Support Functions
Workflow
Management
Document
Management
Data
Management
User and Role
Management
Other System
Administration
Administrative Functions
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MODEL RISK
MANAGEMENTMODEL RISK DEFINITION
Decision Support
Models
Model is fundamentally
wrong
Model is misused or
misapplied
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MODEL RISK
MANAGEMENTMEETING REGULATORY GUIDELINES GLOBALLY
• Model risk
management
Regulation tightened
first in US
• EMEA is now following
EBA SREP
Guidelines
(Dec 2014)
Federal Reserve
SR11/7
(Apr 2011)
Local Regulator
Implementation
(Jan 2016)
Approximately 3 pages focus on
model risk
management
SAS Model Risk Management
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MODEL RISK
MANAGEMENTMEETING REGULATORY GUIDELINES GLOBALLY
ECB
(March 2016)
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MODEL RISK
MANAGEMENTORGANIZATION STRUCTURE
Source: Bank Risk Conference presentation in April 2015
by Konstantina Armata (Head of Global Model Validation &
Governance at Deutsche Bank)
Governance &
Control
Operational Model
Lifecycle
Independent
(periodic)Audit
= Process area
Model Owners & Developers
Model Reviewers
& Validators
Model Risk
Management
Risk Senior
Executives
Internal
Audit
= Functional team
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
Individual Model's Risk Score
combined assessment of the Model's Materiality and Model's Overall Risk on individual model level
5-Very high
4-High
3-Medium
2-Low
1-Very Low
1-No problem 2-Low 3-Medium 4-High 5-Very high
> Model's Overall Risk Rating>
> M
od
el'
s M
ate
rial
ity
Rat
ing
>
MEASURING MODEL RISK
PD IRB model PD IFRS 9 model
PD Stress Testing
ALM prepaymentmodel
Pricing model
Marketing model
Model's Risk Score = 25
Model's Materiality Rating= 5
Model's Overall Risk Rating = 5
Model's Risk Score = 16
Model's Materiality Rating= 4
Model's Overall Risk Rating = 4
Model's Risk Score = 8
Model's Materiality Rating= 2
Model's Overall Risk Rating = 4
Model's Risk Score = 3
Model's Materiality Rating= 1
Model's Overall Risk Rating = 3
Model's Risk Score = 5
Model's Materiality Rating= 5
Model's Overall Risk Rating = 1
Model's Risk Score = 3
Model's Materiality Rating= 3
Model's Overall Risk Rating = 1
2015 Aggregated Model Risk Score = 602015 Average Model's Risk Score = 12
MODEL RISK
MANAGEMENT
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
SAS MODEL RISK
MANAGEMENTDISCOVER SUCCESS STORY
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• 680+ models; 300 usages/applications created
• 1000+ findings & 1000+ action plans back loaded
• Cataloged 12,000+ linked instances to
establish a chain of dependency among model, validation, users, and roles.
• Established a 360° link between model, usage, stakeholders, validation, issues and action
plans for model lifecycle management.
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD SUMMARY DASHBOARD
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C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD MODEL INVENTORY
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Bank
Bank
Bank
Bank
Bank
Bank
Bank
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD MODEL DETAILS
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C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD MODEL DETAILS
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C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD DRILL DOWN CAPABILITY
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• Ability to drill from the top down into
the information relevant to you.
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD MODEL RISK
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Model Risk Scores and Control Scores aggregated across your organization
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD MODEL RISK
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Aggregation methodology
flexible to meet your policy.
C o p y r i g h t © 2 01 3 , SAS In s t i tu te In c . A l l ri g h ts r es er ve d .
MRM DASHBOARD MODEL RISK –ACTION PLANS
• Model findings are also
tracked over time to put current status in historical
perspective.
Obrigado
SAS® FORUM PORTUGAL 2016
