June 2020
Intermediate to advanced
102 pages
2h 16m
English
Content preview from Model Risk Management with SAS
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Chapter 5: Model Risk Assessment and Attestation
Demo 5.1: Perform a Model Risk Assessment
TRIM (Targeted Review of Internal Models)
Model Risk Assessment
Model risk assessment is an activity focused on specifying and quantifying model risk. Model risk quantification uses model risk factors such as the following:
● model usage (why is the model being used?)
● model materiality (how much capital is the model directing?)
● model criticality (how important is the model to the business?)
These factors are used to calculate the inherent risk, the amount of risk that would exist if no controls were put in place. Inherent risk is used in a secondary calculation, along with ...
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