Model Monitoring Report

From Open Risk Manual

Definition

Model Monitoring Report is a Report produced regularly by a competent authority which aims to capture the performance of a Risk Model

Example

The performance of a Credit Scorecard will be monitored and reported in order to identify Model Decay / Model Failure. Monitoring is done at the appropriate timescale (e.g., from daily to quarterly). Various levels of monitoring might be used. Monitoring typically produces updated metrics for the set of metrics that was already used in the selection / validation of the model. This includes primarily

  • Portfolio evolution statistics
  • Model performance statistics

See Also


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