rt360 Model Risk Management

Manage model risks effectively

Effective model risk management framework to manage, measure and mitigate model risks

The rt360 MRM product helps to manage the life cycle of models used in a bank, to mitigate the risk that can arise from the usage of models and ensure robust governance and compliance with various regulations and policies such as

Federal Reserve’s Regulations Supervision and Regulation Letters 14-3 for Bank Holding Companies (BHCs) and their subsidiaries.
Financial Accounting Standards Board (FASB) accounting standard (ACU 2016-13) ‘Financial Instruments.
Comprehensive Capital Analysis and Review (CCAR) United States regulatory framework.
The Fundamental Review of the Trading Book (FRTB).
Central Bank of United Arab Emirates (CBUAE) (IFRS 9).
Basel III International banking regulations.
SR 11-7 Supervisory Guidance on Model Risk Management.
Office of the Comptroller of the Currency ((OCC) 2011-12) guidelines on model development and validation process, along with the associated governance, policies, and controls.
Targeted Review of Internal Models (TRIM).
International Financial Reporting Standard 9 (IFRS 9).

Key Features

Model configuration

Allows to configure, customize, manage changes, and track easily without much intervention from bank IT staff.

Data operations

From Data Ingestion, Transformation, Loading and Data Quality.

Model estimations

Different credit risk model parameters such as PD, LGD, EAD and ECL.

Model validation

Includes Quantitative Validation (Discriminatory Power Tests, Calibration, Benchmarking and Stability) and Qualitative Validation.

Model management

Covering model inventory, model issues and management of model under development.

Model workflow / Case management

Functionality for transparency and ease of audit.

Stress testing and scenario analysis

For various parameter level and macroeconomics scenarios.

Reporting

Functionality to view and download reports in predefined formats.

Benefits

Single source of truth

Maintain a single source of truth for all aspects of model risk management. Define model parameters, validation frequency, and thresholds.

Bolster internal expertise

Track model issues to closure. Develop expertise within the bank and thereby reducing the reliance on external support for periodic validation.

Structured case management

Have a structured case management among model stakeholders like CROs, MRM Committee, Model Developers and Validators.

Minimized cost and effort

Scale up on model management capabilities with minimal efforts. Set up iterative validation exercises without any additional cost.

Brochure

rt360 Model Risk Management

Manage the lifecycle of models used in your organization to mitigate risks arising from them and to ensure compliance.

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