Model risk is not as well defined and established as other more traditional risks, so the identification, understanding and communication of model risk is crucial.

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

Outputs:

Non Working Party related outputs:

Chair: Rob Black
Membership: 12
Established: 2013

Related documents

Contact Details

If you want more information about this research working party please contact the Communities Team.

professional.communities@actuaries.org.uk

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