A Model Risk research project was established by the Institute and Faculty of Actuaries Risk Management Research and Thought Leadership Committee in October 2013. This project was initiated by setting up a member-led research working party (the “Model Risk Working Party”). The working party focused on key foundational areas on the subject including model risk definition, identification, management, culture, governance and measurement. This culminated in a working party Report published in the British Actuarial Journal, and a series of presentations to key industry fora including an IFoA Sessional Meeting in London in March 2015.
Due to the positive reception of the findings of the working party by the profession (the Report earned the Peter Clark prize for Best Paper in September 2015), support was given to setting up a second phase of the working party. New and existing members were invited to volunteer their interest to participate in this second phase.
Key objectives of Phase 2:
- Develop benchmark approaches for internal and external communications around model risk, to improve industry awareness and understanding of model risks
- Build on work from Phase 1 to define a framework for measurement of model risk
- Leverage good practice from other industries to enhance model risk management within the actuarial profession
- Model risk: illuminating the black box, British Actuarial Journal (BAJ), August 2017, Cambridge University Press
- Sessional paper Illuminating the Black Box, 29 June 2017 in Edinburgh
- Risk, Investment,Pensions Conference 2017, 5-7 June
- One day Seminar, Risks in Life: Understand, control and master them, 2 February 2017
- Example Model Risk Board MI pack
- Example Model Risk Disclosure templates for company Report and Accounts and ORSA
- Model risk quantification framework
- Lessons learned from other industries
- Practical case studies to bring all these concept to life
- Momentum conference, 1 December 2016
- The Effective Communication and Disclosure of Model Risk - Presentation at the Pensions, Risk and Investment Conference with AFIR/ERM 2016, June 2016
- British Actuarial Journal article - Daring to open up the black box, December 2015
- British Actuarial Journal article - Daring to open up the black box - London discussion, December 2015
- Sessional paper: Daring to open the black box - Winner of the Peter Clark Prize for Best Paper - London March 2015
- Actuary article ‘Cultural aspects of model risk’ December 2014
- Presentation to the IAA Enterprise and Financial Risks Committee, 11 Sept 2014
- Presentation to the Swiss Actuarial Association, 5 Sept 2014
- Slides for presentations given during 2014
Non Working Party related outputs:
- 9 November 2017
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If you want more information about this research working party please contact the Communities Team.
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This year's GIRO has been re-designed as a virtual conference to offer members and non-members the opportunity to get up to date content from leading experts in the general insurance field via online webinars. All sessions will be recorded and made available to purchase and re-watch post-event on the IFoA's GI Online Learning Resource area.
This webinar will provide an update on the emerging thinking around future regulation of DB schemes:
The webinar will discuss the challenges and opportunities schemes face in evaluating end game options, choosing a target state and understanding the impact this strategic decision could have on member outcomes long after the “end state” is reached. Adolfo, Kevin and Rhian bring over 60 years of experience in the industry and a variety of perspectives as scheme actuary, covenant adviser, trustee, de-risking adviser and insurer.
Retail banking is going through a period of substantial change as it moves into the digital age. Banks have large amounts of data about their customers and about their risks. Open data application programming interface (APIs) and data science are enabling banks to use their data to offer innovative and sometimes personalised services. Data science is also adding value in risk areas such as fraud detection and cyber security. At the same time, the move to online banking is making it easier for firms including fintechs to enter banking without having to establish branch networks.
Cash-flow driven investing is a game-changer for DB pension funds navigating their end-game. Suitable for sponsors who want to reduce risks on their balance sheets. And for trustees, it shifts the focus to providing greater certainty of returns, managing funding level volatility and ensuring they have enough income to pay cash-flow requirements.
Patrick Kennedy, Partner at Gateley Legal and Founding Director of Entrust (a leading professional pensions trustee company), will be delivering an update on the latest legal developments during the course of 2020. With both a pensions legal perspective and over 25 years of trustee service, Patrick will seek to highlight how the letter of the law has continued to evolve against the backdrop of a difficult and challenging year
The talk will provide an understanding of the priorities and relationships between deficit reduction contributions, in the context of wider scheme funding, and different types of value outflow from the employer based on the working party’s recently published report.
Covid-19 has required an urgent and cross-practice initiative to facilitate the extensive impact this pandemic has across all industries. IFoA members have been keen to contribute in a different way, so we developed the IFoA Covid-19 Action Taskforce [ICAT] to coordinate our effort, with a more efficient governance.
We have over 500 volunteers and countless topics which we have amalgamated into 93 workstreams.