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

19 KB (2,522 words) - 14:31, 9 May 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
Model Taxonomy
'''Model Taxonomy''' is a classification and documentation system for the (financial A model taxonomy might be the organizing principle behind a [[Model Inventory]] system. It is related to be is distinct from the [[Risk Taxonom

5 KB (679 words) - 19:39, 11 March 2024
Model Outputs
...rical Variable | categorical variables]] that encapsulate the outcome of a model calculation or "run". The significance of such outcomes lies in the manner There is a wide variety of possible model outputs:

1 KB (153 words) - 11:34, 20 November 2019
Risk Taxonomy
...hest level decomposition (and a distinctive future of the taxonomy) is the use of ''contracting'' as key differentiator of risk types ...l) perspective places less weight to day-to-day operational and [[Business Model Risk]]

8 KB (1,110 words) - 16:01, 16 January 2023
COPYING
Risk Manual Template (Version 1.0 - May 2014). Use this text when generating new articles In case of synonyms use a parenthesis to indicated alternatives: (Also: AlternateName1, AlternateNa

2 KB (288 words) - 20:52, 19 October 2014
Risk Data Standards
...expertise to develop specifications to support the collection, sharing and use of structured data for data reporting and analysis. ...w.eba.europa.eu/regulation-and-policy/supervisory-reporting EBA Data Point Model] (Based on XBRL)

10 KB (1,432 words) - 17:18, 5 December 2023
Risk Data
* Organizations typically use diverse sources of risk data, which formally can be organized using a [[Ris ...[[Abstract Risk Model]] into a concrete [[Model Implementation]] via the [[Model Specification]] process.

2 KB (221 words) - 00:50, 20 November 2019
IFRS 9 Modeling Resources
...lp us maintain this list up-to-date by submitting additions / corrections (Use info at openrisk eu). Submissions should have a publicly accessible URL (li |Use of changes in the risk of a default occurring over the next 12 months when

24 KB (3,113 words) - 16:52, 1 September 2020
Credit Scoring Models
'''The credit scoring model collection focuses on the classic one period credit assessment / classifica * credit migration models that besides default aim to model an entire [[:Category:Credit_Rating_System | credit rating system]] and ass

11 KB (1,491 words) - 15:41, 7 March 2023
Entry Types
...tions of links to external resources. Collection pages will typically make use of tables to create an easily readable list. As an example the list of [[Fi === Model Descriptions ===

3 KB (397 words) - 23:34, 8 March 2021
Representativeness
...n attribute of [[Risk Data]], relevant in the context of developing [[Risk Model | risk models]]. It denotes the degree to which the historical data set off The concept is linked to, but is more loosely use in practise, than the [[wikipedia:Representativeness Heuristic | representa

477 bytes (66 words) - 13:57, 4 August 2019
IFRS 9 Glossary
...ssions and (where applicable) mathematical definitions / formulae. You can use the [[:Category:IFRS 9 | category tree]] to browse these articles directly. ...e first day of the first reporting period following the change in business model that results in an entity reclassifying financial assets

10 KB (1,464 words) - 11:38, 25 September 2020
Restructuring
...ing in the [[Loan Tape]], which constitutes a direct input to the sampling model.

4 KB (520 words) - 11:13, 31 March 2021
IFRS 9
...ring]] systems. While banks currently using the [[Advanced IRB Credit Risk Model | advanced internal ratings-based approach]] (IRB) to establish their capit If the asset passes the contractual cash flows test, the business model assessment determines how the instrument is classified. If the instrument

8 KB (1,123 words) - 13:25, 25 October 2019
Financial Guarantee
* It should include provisions on the use of ratings of third parties that provide contractual support to more than o ...uaranteed by a third party that is not in the range of application of a PD model and the guarantee fulfils all requirements for credit risk mitigation (CRM)

6 KB (895 words) - 14:41, 6 September 2020
Lifetime PD
* Whether the model estimation based on market data or historical default data ...th respect to SICR, when making the assessment, the reporting entity shall use the change in the risk of a default occurring over the expected life of the

2 KB (319 words) - 19:10, 21 December 2020
Risk Model
'''Risk Model''' denotes any quantitative (mathematical), qualitative or hybrid approach ...s still essential in quantitative risk models, at all stages of the [[Risk Model Lifecycle]]

2 KB (334 words) - 14:34, 20 November 2019
Open Source Risk Management Software
...list of projects (both big and small) that adopt the open source licensing model in the development of software relevant for risk management. The scope of t ...lp us maintain this list up-to-date by submitting additions / corrections (Use info at openrisk eu). Submissions should have a publicly accessible URL (li

4 KB (551 words) - 13:27, 28 June 2020
Garbage In Garbage Out
...l data ("Garbage In") and as a consequence produce nonsensical, unusable [[Model Outputs]] outcomes ("Garbage Out"). * Extensive use of [[Data Proxies]] due to lack of more relevant / representative data

2 KB (351 words) - 11:30, 27 June 2020
Five Cs Of Credit Analysis
* the intended purpose of the loan ([[Use of Funds]]) (consumption, investment etc.) ...jectively (in [[Expert Based Models]]) or quantitatively in [[Quantitative Model | quantitative / statistical models]].

9 KB (1,373 words) - 14:11, 29 March 2021
Economic Scenario Generator
An '''Economic Scenario Generator''' (ESG) refers to a mathematical model (and its computer implementation) that simulates possible future paths of e .... Such auxiliary specific models are typically implemented via [[Satellite Model | satellite models]].

5 KB (698 words) - 17:17, 30 October 2019
Collateral Valuation
* Automated Valuation Model * Use of consensual vs. non-consensual foreclosure (historic and forward looking)

2 KB (323 words) - 18:40, 24 January 2021
IT Data Integrity Risk
...T data life cycle (i.e. designing the data architecture, building the data model and/or data dictionaries, verifying data inputs, controlling data extractio * Use of faulty external data.

5 KB (777 words) - 19:01, 4 March 2020
Expected Life
...bly estimate the expected life of a financial instrument, the entity shall use the remaining contractual term (Maturity) of the financial instrument. * Use of the expected life of an instrument for ECL purposes differentiates the I

3 KB (392 words) - 13:13, 1 December 2022
Var-Covar Model
'''Var-Covar''' (Variance-Coveriance) model denotes a simple methodology that allows the [[Risk Aggregation]] of distin ...gation, e.g, to aggregate [[Market Risk]] in the [[Trading Book]]. Another use is to apply Var-Covar at the top level of risk aggregation, for example com

2 KB (274 words) - 13:00, 16 April 2021
SREP
...all the risks in their business but also to encourage banks to develop and use better risk management techniques in monitoring and managing their risks. F * Analysis of the viability of the [[Business Model]] of the bank or banking group and analysis of the sustainability of its [[

8 KB (1,117 words) - 15:00, 5 February 2020
Concentration Risk
* [[Revenue Risk]], e.g. from excess reliance on a particular [[Business Model]] ...bination of off-site monitoring and on-site examination. Some supervisors use off-site monitoring only, and some supervisors consider input from suppleme

4 KB (601 words) - 11:01, 24 September 2020
How to Build a Credit Scorecard
...n a business context. The approach follows the general lifecycle of [[Risk Model]] development adapted to the specific requirements of [[Credit Risk]]. ...specific to credit scorecards but are common across wider ranges of [[Risk Model Lifecycle | risk models]]

5 KB (622 words) - 18:41, 18 November 2020
Credit Scorecard Business Requirements
* The business use of the scorecard, e.g. [[Risk Acceptance]] of new clients on the basis of a ...rformance characteristics]] for accepting the deployment and/or continuing use of the scorecard

2 KB (310 words) - 21:01, 11 September 2020
Privacy Policy
Cookies : We use cookies to help identify and track visitors in their usage of the website, Log files :We use IP addresses to analyse trends, administer the site, track usage, and gathe

3 KB (521 words) - 16:00, 16 May 2022
Credit Portfolio Model
'''Credit Portfolio Model''' denotes any mathematical framework that aims to emulate the evolution of == Model Types ==

3 KB (429 words) - 14:55, 23 June 2020