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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A Trusted Profession
This free 1 hour CPD webinar is designed to meet the IFoA’s Stage 3 Professional Skills Training under the IFoA’s CPD Scheme 2019/2020 and is suitable for actuaries working in any area (i.e. it is not specifically aimed at Pensions, GI or any other technical discipline) and is interactive.
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