model risk management


Model Risk Management

Driving the value in modelling

Model Risk Management for better business decision

Banks’ quantitative systems are complex and many stakeholders have to take decisions based on risk quantitative techniques. Access to trusted models is essential to effectively use enterprise data, considered a strategic asset for banks, and to drive better business results.



1/ Model risk scope extension

Banks need to develop more models in order to comply with parallel regulations, typically:

  • IFRS9 Framework Implementation and Forward Looking Integration
  • ECB Regular Stress Tests

Banks should consider Model Risks limits within Risk Appetite Framework.

2/ Model Lifecycle efficiency

  • Faster model deployment
  • Streamlined processes
  • Centralised modelling infrastructure

3/ Strengthen model risk governance

Regulators want to have a core understanding of the way banks develop, document, use, monitor, set up and maintain inventories, validate and control models for credit, finance and marketing activities.

SSM, EBA, ECB to focus their regulatory efforts on Model Risk Management framework given the fact that models and data are considered strategic assets and must be managed as key inputs to risk assessment as well as to business decision making process.

Model Risk Management for stress testing in financial institutions

Banks are using stress testing results more and more to make strategic and business decisions. Understanding the capabilities of stress testing models, their limitations and the impact of model uncertainty on banks’ stress testing results are critical...

A New Risk Type?

A clearly defined MRM framework with a strong management insight on monitoring models and their risks will allow institutions to strengthen their decision making processes and improve their profitability.

  • Organisation and Governance (MRM Organisational Design, Policy Development, MRM Program Design)
  • Model Lifecycle Management (Model Inventory, Model Classification, MR Documentation, Model Follow-Up)
  • Model Control Framework (Data Quality Review, Validation Approach, Model Independent Review, Model Control Process Optimization)
  • Model Risk Quantification (Practice Development, Model Risk Analytics, Model Risk Mitigation)
  • Model Risk Management Processes & Technology (Platform Design, Platform Selection, Data Quality Management)


Model Risk Management Conference 

September 25, 2018


The conference included a round table with key MRM representatives across Tier 1 and Tier 2 French Banks, a point of view discussion from the French Supervisor, use cases in the banking sector, as well as a debate about the future of MRM.

Model Risk Assessment Conference

April 10, 2017


Main topics covered during the round table:

  • State of the art of the MRM

    - MRM framework implementation is only beginning

    - Non-regulatory models should be integrated in MRM frameworks

    - Model attestation: a new aspect of MRM proces

    - The model development environment is changing due to an important need for modelling, influencing the requirements for more governance

  • Assessment of model risk and KRI

    - Potential risks and exposure evaluation

    - Ever-changing model inventory

    - Operational incidents registration and model risk database

  • Standardization

    - Model validation dashboard for development and implementation

    - Define an homogeneous approach for model validation


Nos experts

Hervé Phaure

Hervé Phaure

Associé Risk Advisory

Hervé est Associé responsable de l’activité Credit Risk Advisory. Il intervient depuis plus de 25 ans sur les problématiques de gestion de risques financiers, et accompagne les institutions financière... En savoir plus

Nadège Grennepois

Nadège Grennepois

Associée Risk Advisory

Nadège est en charge des offres liées au risque de crédit et est leader des offres Model Risk Management en France et au niveau EMEA. Elle bénéficie de 19 ans d’expérience en management d’équipes quan... En savoir plus