Model risk management services publications
||Model risk mitigation and cost reduction through effective design
This paper offers ideas on how to combat model risk at an early stage of the model life cycle – the design phase. We provide practical recommendations on how to design model production systems in a manner that minimizes model risks and reduces model validation and maintenance costs.
Credit card reward programs: Understanding your model risk
||FS regulatory briefs*
These briefs provide a timely analysis of recent regulatory changes. This edition covers Will regulatory scrutiny of model risk management intensify?.
As the popularity of reward programs grows, so will their potential impact on bank financial performance and reporting. Anticipated program member redemption activity and expected redemption cost per point are key estimates needed for measuring the performance of a reward program.
Briefing note: New York Insurance Department Circular Letter No. 25
This letter outlines the Department's expectation that all insurers should have a financial stress testing process in place as part of their risk management framework.
Gaining comfort: Capital model validation for insurers
At a time when stakeholder expectations are raising the bar for model validation and integration, this paper outlines some of the practical considerations that we believe can significantly help to strengthen the performance and credibility of the model evaluation process.
PwC Model Validation Services Guide
PwC follows a structured and auditable approach designed to ensure that relevant model risks are indentified and tested. We also can perform our work according to your company's specific guidelines and procedures.
Viewpoint: The challenge of keeping models up-to-date
American Banker, January 2008. By Richard Pace, Principal, PwC.
Model risk management: Key considerations for challenging times
Bank Accounting & Finance, June-July 2008. By Richard R. Pace, Principal, PwC This article discusses the challenges of model risk management and the imperative for financial services companies to build an effective model risk management program.
Navigating emerging model risks: Model validation in the current economic environment
The recent downturn in the housing market has exposed certain weaknesses in mortgage credit risk models' ability to make accurate credit loss forecasts.
Automated valuation models
Changes in the housing market require additional risk management considerations
Controls over complex financial models: Common deficiencies
In this article, we examine some of the more common control challenges and offer some practical tips to improve control efficiency.
Why is a model validation program necessary in a Sarbanes-Oxley environment?
In this article, we discuss how a model validation program can form an integral part of management's internal control structure over financial reporting, and we highlight three key steps that we believe are crucial in the design and operation of an effective model validation program.
Managing model risk
To manage model risk, financial institutions should ensure that a sound model validation program is in place.