Winners of the Peter Clark prize for their research paper, Model Risk: Daring to open the Black Box the Model Risk Working Party will present their Phase 2 findings, Model Risk: Illuminating the Black Box at a Sessional event in Edinburgh on 29 June. Download the paper here.
This paper presents latest thinking from the Institute and Faculty of Actuaries’ (IFoA) Model Risk Working Party and follows on from their Phase I work, Model Risk – Daring to Open the Black Box. This is a more practical paper and presents the contributors’ experiences of model risk gained from a wide range of financial and non-financial organisations with suggestions for good practice and proven methods to reduce model risk.
After a recap of the Phase I work, examples of model risk communication are given covering communication: to the Board; to the Regulator; and to external stakeholders. We present a practical framework for model risk management and quantification with examples of the key actors, processes and cultural challenge. Lessons learned are then presented from other industries that make extensive use of models and include the weather forecasting, software and aerospace industries. Finally, a series of case studies in practical model risk management and mitigation are presented from the contributors’ own experiences covering primarily financial services.
Model Risk Working Party Phase 2 Objectives
Download the Model Risk paper
Event organiser
Contact Events Team for more information.
eventmanagement@actuaries.org.uk
0207 632 1498
17.00 - 17.30 Registration
17.30 - 19.00 Programme
19.00 Close
Location
Address
The Royal College of Physicians of Edinburgh
9 Queen Street
Edinburgh
EH1 1JQ
Nearest Public Transport
Edinburgh Waverley Train Station