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* [[Kraljic Model]] (New Entry) * [https://www.openriskacademy.com/course/view.php?id=73 Input-Output Model Interactivities]

19 KB (2,486 words) - 19:41, 23 April 2024
Model Risk
...can lead to a variety of financial and / or reputational [[Loss]] events. Model risk is generally considered to be a type of [[Operational Risk]]. ...ed to the assessment of risk, which is a common use in financial services, model risk can also be seen as a ''second-order'' risk (a contributing factor to

7 KB (1,077 words) - 19:50, 11 March 2024
Accuracy Ratio
...P)) of the model under consideration versus the "perfectly" discriminating model. (See also: [[Receiver Operating Characteristic]]) ...ex | Gini Coefficient]] yet it should not be confused with the more common use of that term to measure inequality.

3 KB (382 words) - 12:52, 16 September 2021
Algorithm
== Relevance for Model Performance == ...y constitute a significant component of the computational budget of a risk model in terms of computer memory requirements or computational power requiremen

2 KB (276 words) - 18:01, 5 December 2023
AMA Models
The AMA framework must include the use of four data elements: ...re is large discretion on how to combine the elements into a coherent risk model. Some common approaches:

2 KB (238 words) - 14:34, 19 November 2019
Backtesting
...ison of observed outcomes with expected outcomes derived from the use of a model. ...development or validation process. Backtesting compares the latest set of model predictions against actual realizations, with the validation sample being f

3 KB (371 words) - 23:40, 9 March 2021
Credit Bureau Scoring
...stem (i.e., the scoring system can use credit bureau scores as part of the model attribute set) ...riable(s) of the overall internal rating, there is a risk that an internal model may not consider all relevant information.<ref>ECB guide to internal models

4 KB (644 words) - 13:33, 19 November 2018
Data Cleansing
...ce a set that is suitable for use, e.g., in [[Model Development]] and/or [[Model Validation]]. ...a cleansing may hide issues with the dataset that would prevent building a model that is fit for purpose. For example engineering a less representative samp

2 KB (217 words) - 21:01, 11 September 2020
Default Definition
...mply with this requirement, institutions should ensure that when they make use of external data or pooled data they have a complete understanding of the d ...fault definition in [[External Risk Data]] used to support building a risk model may differ (see ECB TRIM section)

8 KB (1,109 words) - 16:07, 22 February 2021
Economic Capital Models
...odels''' are a class of [[Portfolio]] level or [[Enterprise]] level [[Risk Model | risk models]] which typically aggregate within and across the risk types The overall structure of an economic capital model mirrors the recognized and capitalized regulatory [[Risk Type | risk types]

1 KB (169 words) - 15:02, 23 June 2020
Model Validation
...practices and organizational arrangements supporting a rigorous (audited) model development and validation cycle. Model Validation ensures that developed models offer good presentation of the var

1 KB (145 words) - 11:03, 15 September 2021
Model Inventory
...mation that is in use by a firm or organization. Sometimes also called a ''Model Map''. ...rall [[Model Governance]], with a key objective identifying and managing [[Model Risk]].

939 bytes (133 words) - 14:35, 19 November 2019
Model Documentation
...ns, derivations, tests and other analyses that support the use of a [[Risk Model]] for a given purpose. ...g good [[Model Governance]] and is an indispensable tool for [[Independent Model Validation]].

2 KB (243 words) - 12:04, 31 March 2021
Model Parameters
...h reference to data or be subject to explicit policy decisions. Important model parameters may become integral to the risk management process as they have Examples of model parameters include

893 bytes (116 words) - 18:42, 28 January 2020
Model Usage
...ed into business actions. It is the context into a certian model is put to use. ...any other model adjustment mechanisms that may intermediate and modify the model output before final action.

1 KB (161 words) - 19:43, 11 March 2024
Out of Sample Testing
...esting''' is the label of one of the most powerful quantitative means of [[Model Validation]] in the pre-implementation phase. ...on separating the total data set and restricting model development to the use of a sub-sample only. The sub-sample can be restricted in the time-dimensio

526 bytes (69 words) - 19:42, 27 January 2020
Roll Rates
* Estimating a roll rate matrix constitutes a simple type of a credit [[Risk Model]] in that it allows projecting likely outcomes over the future periods. Com ...nal Transition Matrix]] are useful to mitigate this weakness (and hidden [[Model Assumptions]])

4 KB (658 words) - 12:17, 7 September 2020
Visualization
...ps between variables (e.g., scatter plots, Q-Q plots, histograms), overall model performance (power curves) etc. There is large variety of possible [[Visual ...information with the unintentional or intentional abuse of the technique (use of wrong scales, misleading areas or volumes

912 bytes (109 words) - 13:29, 6 July 2020
Basel II Advanced IRB Capital Model
...wn empirical model to quantify required capital for credit risk. Banks can use this approach only subject to approval from their local regulators. Under A-IRB banks are supposed to use their own quantitative models to estimate PD ([[probability of default]]),

7 KB (1,023 words) - 12:30, 26 March 2021
Risk Limit
...g to distinguish limit systems that utilize additional (potentially [[Risk Model]] dependent parameters) from those that are based more directly on observab There is a large collection of potential pitfalls associated with the use of risk limits. We can group them roughly in two categories: immediate issu

6 KB (943 words) - 14:11, 4 October 2021