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Managing Model Risk: Challenges & Solutions
A Capgemini White Paper
www.capgemini.com/financialservices
Abstract
The main solution to managing model risk is model validation. Though
there are various statistical tools available for model validation, there is a
clear need to address the non quantitative aspects of model validation.
The focus of this paper is to outline the best practices for managing model
risk from a management perspective. The first section outlines the main
sources of model risk. This is followed by a section on the challenges a
bank faces while implementing model validation. We also propose
solutions which can significantly elevate these problems. The last section
describes the implementation aspects of a model validation program.
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