Model Risk Management | KPMG | BE

Model Risk Management

Model Risk Management

KPMG’s Model Risk Management Approach offers a practical framework for identifying, quantifying, and mitigating model risk.

Model Risk Management Approach offers a practical framework for identifying model risk.

The global financial crisis showed us that model risk is real and that the consequences can be far reaching. In response, regulators have increased scrutiny to ensure that financial institutions maintain effective and sustainable Model Risk Management (MRM) programs. Demonstrating not only the validity of individual models but also the efficacy of the controls covering the design, development, revision, and use of models is paramount.

 

Given the size and complexity of the typical model portfolio, the sophistication of both the algorithms and the underlying technologies, and the diversity of the environments in which they’re used, many organizations are struggling to meet this mandate.


How can we help?

KPMG’s Model Risk Management Approach offers a practical framework for identifying, quantifying, and mitigating model risk by addressing the sources of risk head on through:

  • Core Components of Model Inventory, Model Development and Implementation, Model Data Aggregation and Quality, Model Validation, and Model Risk Assessment
  • Supporting Framework, including Model Risk Governance, Data Management, and Technology Support
  • Internal Audit, as the 3rd line of defense

 

Our Approach

In addition to providing support for third-party MRM software or custom tools, we offer a technology solution specifically designed to help manage model risk.

The KPMG Model Risk Management Suite is designed to assist with implementing effective model risk management by providing the ability to track all critical components of your MRM program:

  • Model Inventory Management
  • Model Development and Validation
  • Reporting
  • Model Risk Assessment
  • Document Control

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