Model Risk: Governance, Regulation and Management - Risk Books
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Model Risk: Governance, Regulation and Management

By Lourenco Miranda

Overview

Model Risk has redefined the way financial institutions develop, implement, and use models for decision making purposes. The new regulatory environment has pushed financial institutions to improve their Model Risk management capabilities, internal controls, processes, and governance. Banks are still struggling to understand regulations such as SR 11-7, and the ECB has indicated that it will move towards a more rigorous regulation and supervision of model risk. Regulators in the US have put a lot of emphasis on this topic and many banks have been struggling to implement the rules which ensued, but the landscape is shifting.


Model Risk examines the implications of the regulatory environment in the US and how much this has changed the way financial institutions deal with models. It provides a one-stop-shop for the reader to get a comprehensive and practical view on model risk.


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Publish date: 31 Jul 2017

Availability: Out of stock

£145.00

Book description

In Model Risk: Governance, Regulation and Management, author Lourenco Miranda (Société Générale: Corporate and Investment Banking) identifies the major elements or factors of model risk, examining how to assess, manage and control them. It will also cover the regulatory environment in the United States (Fed Rule SR11-7) and the ECB Model Validation rules.

 

Chapters include:

 

  • Model Risk Monitoring and Control
  • The Regulatory Environment in the United States (SR 11-7)
  • The Regulatory Environment in Europe and the UK
  • Model Risk and Model Development
  • The Policies, Procedures and Standards of Model Risk
  • Model Risk Capital
  • Model Risk as a Pillar II / Hard-to-Measure Risk
  • How to Build an MRM Function

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Book details

ISBN
9781782723424
Publish date
31 Jul 2017
Format
Size
230mm x 280mm

Author biography

Lourenco Miranda

Lourenco is currently Managing Director, Head of CCAR: Stress Testing, Scenarios, Modeling, and Governance with Societe Generale (Corporate and Investment Banking). Previous to this Lourenco was Managing Director, Global Operational Risk Quantification, Economic Capital, Scenario Analysis, Stress Testing and CCAR at AIG. He has 18 years of progressive and relevant experience in Risk Management, Economic Capital, Capital Adequacy Framework, Risk Governance and Regulatory Practices, Risk Policies & Procedures and Modeling for all financial risk types, product lines and client coverage in Financial Institutions in all continents and different regulatory environments or jurisdictions.

Formerly, Dr Miranda was Head of Quantitative Analytics at US Bancorp. In that capacity, Dr Miranda was responsible for the calculation of Operational Risk Capital and CCAR; and for the risk oversight, model development for capital markets products (fixed income, FX, credit, MSR) including counterparty risk modelling (CVA family). Before that, Dr Miranda held different positions in internationally active Financial Institutions like the IFC/World Bank (responsible for risk advisory in more than 30 countries and jurisdictions) and ABN AMRO (head of integrated risk modelling). In the academic arena, Dr Miranda is a published author, having held different positions in academic institutions in Brazil, Netherlands, Russia and the US. Currently, he is visiting Professor of the School of Mathematics of the University of Minnesota.

Table of contents

1) Introduction

2) Model Risk Definition

a- What is a Model?

b-What are the Model Risk Elements?

                                                  i.  Model Risk as an Operational Risk Category
                                                  ii. Model Risk and Model Development

3) The Regulatory Environment and its Implications to te Industry

a- Regulatory Environment in the United States (SR 11-7)

b- Regulatory Environment in Europe and UK

4) Model Risk Factors

a- Data

b- Processing

c- Implementation

d- Usage

5)The Model Risk Management Process

a- Governance

b- Policies, Procedures and Standards

6)The Model Validation Process under the US Regulation SR11-7

7)Model Risk Measurement

a- The Exposure to Model Risk

b- Model Risk Capital

c- Model Risk as a Pillar II / Hard-to-Measure Risk

8)Model Risk Monitoring and Control

9) Model Risk as a Function in a Financial Institution

a- How to build a MRM function

b- The Human Capital – Different Skills and Background

c- How to build a MRM Organizational Structure to Support the MRM Process

10)Conclusions 

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