Model Inputs

From Open Risk Manual


Model Inputs denotes the list of numerical or categorical variables (Risk Data) that are used as mathematical inputs to be processed by a Risk Model


There is a wide variety of possible model inputs:

  • Continuous Numerical values (valuations, hedge sizes, continuous risk scores)
  • Discrete Numerical values or Categorical variables (ratings)
  • Distributions (rankings of possible scenario losses)
  • Discrete indicators (yes / no)
  • Tabular Data (risk allocation to positions)

Issues and Challenges

  • Model inputs are frequently the outcome of previous Model Outputs creating chains of dependencies and possible Model Risk propagation
  • Careful documentation of all model inputs in use is part of good Model Governance

See Also